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 19, 1999
(Date of earliest event reported)
Commission File No. 333-61785
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV (as depositor under the Pooling
and Servicing Agreement, dated as of May 1, 1999, relating to the New South Home
Equity Trust 1999-1, Home Equity Asset Backed Certificates, Series 1999-1)
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV
Delaware 06-1204982
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(State of Incorporation) (I.R.S. Employer Identification No.)
1285 Avenue of the Americas
New York, New York 10019
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(Address of principal executive offices) (Zip Code)
(212) 713-2000
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(Registrant's Telephone Number, including area code)
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(Former name, former address and former fiscal year, if changed since
last report)
<PAGE>
ITEM 5. OTHER EVENTS
Attached as an exhibit are certain Structural Term Sheets,
Collateral Term Sheets and Computational Materials (as defined in the
no-action letter dated May 20, 1994 issued by the Securities and Exchange
Commission to Kidder, Peabody Acceptance Corporation-I, Kidder, Peabody &
Co. Incorporated and Kidder Structured Asset Corporation (the "Kidder
Letter") as modified by a no-action letter (the "First PSA No-Action
Letter") issued by the staff of the Commission on May 27, 1994 to the
Public Securities Association (the "PSA") and as further modified by a
no-action letter (the "Second PSA No-Action Letter") issued by the staff
of the Commission on March 9, 1995 to the PSA) prepared by PaineWebber
Incorporated, which are hereby filed pursuant to such letter.
-2-
<PAGE>
ITEM 7. FINANCIAL STATEMENTS AND EXHIBITS
(c) Exhibits
Item 601(a)
of Regulation S-K
EXHIBIT NO. DESCRIPTION
- ----------- -----------
(99) Structural Term Sheets, Collateral Term
Sheets and Computational Materials
prepared by PaineWebber Incorporated in
connection with New South Home Equity
Trust 1999-1, Home Equity Asset Backed
Certificates, Series 1999-1
-3-
<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 21, 1999
By:/s/ BARBARA J. DAWSON
--------------------------
Barbara J. Dawson
Senior Vice President
-4-
<PAGE>
INDEX TO EXHIBITS
-----------------
Paper (P) or
EXHIBIT NO. DESCRIPTION ELECTRONIC
- ----------- ----------- ----------
(99) Structural Term Sheets, E
Collateral Term Sheets and
Computational Materials
prepared by PaineWebber
Incorporated in connection
with New South Home Equity
Trust 1999-1, Home Equity
Asset Backed Certificates,
Series 1999-1
-5-
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
DISCLAIMER
- --------------------------------------------------------------------------------
The information included herein is produced and provided exclusively by
PaineWebber Incorporated ("PW") as underwriter for the New South Home Equity
Loan Trust 1999-1, and not by or as agent for New South Federal Savings Bank or
any of its affiliates (collectively, the "Transferor"). The Transferor has not
prepared, reviewed or participated in the preparation hereof, is not responsible
for the accuracy hereof and has not authorized the dissemination hereof. The
analysis in this report is accurate to the best of PW's knowledge and is based
on information provided by the Transferor. PW makes no representations as to the
accuracy of such information provided by the Transferor. THE INFORMATION HEREIN
IS PRELIMINARY, AND WILL BE SUPERSEDED BY THE APPLICABLE PROSPECTUS SUPPLEMENT
AND PROSPECTUS AND BY ANY OTHER INFORMATION SUBSEQUENTLY FILED WITH THE
SECURITIES AND EXCHANGE COMMISSION.
All opinions and conclusions in this report reflect PW's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PW does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in this analysis. The decision to adopt
any strategy remains your responsibility. PW (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to herein, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PW may make a market in the securities referred to
herein. Neither the information nor the opinions expressed shall be construed to
be, or constitute, an offer to sell or buy or a solicitation of an offer to sell
or buy any securities, commodities or derivative instruments mentioned herein.
Finally, PW has not addressed the legal, accounting and tax implications of the
analysis with respect to you and PW strongly urges you to seek advice from your
counsel, accountant and tax advisor.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
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PAINEWEBBER 1
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
$440,000,000 (APPROXIMATE) OFFERING AMOUNT
<TABLE>
<CAPTION>
TRANSACTION SUMMARY
- ----------------- ----------------- ------------- -------------- -------------- --------------- -----------------------
ESTIMATED ESTIMATED ESTIMATED
WAL MODIFIED PAYMENT EXPECTED
APPROXIMATE TO CALL DURATION WINDOW RATINGS
CERTIFICATE(A) SIZE COUPON(E) (YEARS) (YEARS) (YEARS) (MOODY'S/S&P)
- ----------------- ----------------- ------------- -------------- -------------- --------------- -----------------------
<S> <C> <C> <C> <C> <C> <C>
Class A-1 [$105,701,000] Floating (b) [0.50] n/a [1.00] Aaa / AAA
Class A-2 [$107,896,000] Fixed [1.50] [1.39] [1.17] Aaa / AAA
Class A-3 [$104,428,000] Fixed (c) [3.00] [2.65] [2.17] Aaa / AAA
Class A-4 [$46,142,000] Fixed (c) [5.00] [4.11] [2.00] Aaa / AAA
Class A-5 [$50,722,824] Fixed (c) [7.09] [5.38] [1.33] Aaa / AAA
Class A-6 [$22,000,000] Fixed (c) [6.06] [4.79] [4.33] Aaa / AAA
Class A-6IO [$22,000,000] IO (d) n/a [.98] n/a Aaa/AAAr
- ----------------- ----------------- ------------- -------------- -------------- --------------- -----------------------
</TABLE>
Notes:
(a) The certificates will be priced to the 10% Optional Termination.
(b) The Class A-1 Certificate will bear interest at a variable rate
equal to LIBOR plus [__]% per annum subject to an available funds
cap based on funds available therefor from interest accrued and
payable on the loans.
(c) The Class A-3, A-4, A-5 and A-6 Certificates will bear interest at
a fixed rate equal to their respective Pass-Through Rates, in each
case, subject to an available funds cap based on funds available
therefor from interest accrued and payable on the loans.
(d) The Class A-6IO Certificates are interest only Certificates.
Interest on the Class A-6IO will be paid on a notional principal
balance equal to the then outstanding principal balance of the
Class A-6 Certificates (initially $[ ]) at a Pass-Through Rate of
[8.00]% per annum, from the first Distribution Date until the
Distribution Date in [May 2001].
(e) The pass-through rate for each class remaining outstanding will
increase by 0.50% for remittance periods beginning after the
Clean-up Call Date.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
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PAINEWEBBER 2
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
PRICING INFORMATION
PREPAYMENT PRICING
SPEED ASSUMPTION: 4% CPR, increasing to 25% CPR over 12 months
DISTRIBUTION DATE: The 25th day of each month (or the next
Business Day thereafter) commencing in June,
1999.
DISTRIBUTION DELAY: With the exception of the Class A-1
Certificates, 24 days. With respect to the
Class A-1 Certificates, 0 days.
SETTLEMENT (CLOSING) DATE: On or about May 27, 1999.
CLEAN-UP CALL DATE: The first Distribution Date on which the
aggregate loan balance of the loans has
declined to less than 10% of the aggregate
loan balance as of the Cut-Off Date.
INTEREST ACCRUAL PERIOD: With the exception of the Class A-1
Certificates, interest will accrue on the
Certificates at a fixed rate during the
month prior to the month of the related
Distribution Date based on a 30/360 day
basis.
With respect to any Distribution Date, the
Class A-1 Certificates will be entitled to
interest which has accrued thereon from the
preceding Distribution Date (or from the
Settlement Date in the case of the first
Distribution Date) to and including the day
prior to the current Distribution Date.
Calculations of interest on the Class A-1
Certificates will be made on an actual/360
day basis.
PREPAYMENT INTEREST
SHORTFALLS: Prepayment interest shortfalls not covered
by the servicing fee will be allocated pro
rata among all Classes of Certificates on
the basis of their respective interest
entitlements.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
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PAINEWEBBER 3
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
DESCRIPTION OF SECURITIES
TITLE OF SECURITIES: New South Home Equity Loan Trust 1999-1
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITER: First Union Capital Markets
SELLER AND SERVICER: New South Federal Savings Bank
DEPOSITOR: PaineWebber Mortgage Acceptance Corporation IV
TRUSTEE: The Chase Manhattan Bank
CERTIFICATE INSURER: AMBAC Assurance Corporation
OFFERING AMOUNT: Approximately $440,000,000
STATISTICAL CUT-OFF DATE: May 1, 1999
CUT-OFF DATE: May 1, 1999
STATISTICAL CALCULATION DATE: The collateral described herein and in the
prospectus supplement represents the pool of
loans as of the Statistical Calculation Date of
May 1, 1999. It is anticipated that the total
unpaid principal balance of the collateral pool
conveyed to the Trust at closing will be at
least $440,000,000.
FORM OF OFFERING: Book-Entry form, same-day funds through DTC,
Euroclear, and CEDEL.
SENIOR CERTIFICATES: Class A-1, A-2, A-3, A-4, A-5, A-6 and A-6IO
Certificates.
OFFERED CERTIFICATES: The Senior Certificates. The Class X-IO, Z-IO
and the Class R Certificates are not being
offered publicly.
DENOMINATIONS: Minimum denominations of $[25,000] and
multiples of $1,000 thereafter.
SERVICING/OTHER FEES: The collateral is subject to certain fees,
including a servicing fee of 0.50% per annum
payable monthly, trustee fees and guarantor
fees.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
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PAINEWEBBER 4
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
DESCRIPTION OF SECURITIES (continued)
ADVANCING BY SERVICER: The Servicer is required to advance from its
own funds any delinquent payments of interest
(not principal) unless such interest is deemed
to be non-recoverable (the "Delinquency
Advances").
CREDIT ENHANCEMENT: The credit enhancement provided for the benefit
of the Offered Certificates consists of (a)
excess interest, (b) the Overcollateralization
Amounts and (c) the Certificate Insurance
Policy.
Excess Interest Because the amount of interest collected on the
loans for each due period is expected to be
higher than the interest distributable for the
Certificates for the related Distribution Date,
excess interest will be generated. A portion of
this excess interest will be applied both to
absorb interest shortfalls and to create and
maintain the required Overcollateralization
Target Amount.
Overcollateralization On the Closing Date, the Overcollateralization
Amount will equal zero. As a result of the
application of a portion of the excess interest
in reduction of the principal balance of the
Senior Certificates, the applicable
Overcollateralization Amount is expected to
increase over time until it reaches the
applicable Overcollateralization Target Amount;
however, subject to certain delinquency and
loan loss tests, the required percentage level
of overcollateralization may increase or
decrease over time. The Overcollateralization
Amount is the first amount to absorb realized
losses on the loans and certain unreimbursed
expenses of the Trust Fund.
Certificate
Insurance Policy The Certificate Insurer will issue a
Certificate Guaranty Insurance Policy (the
"Certificate Insurance Policy"), pursuant to
which it will irrevocably and unconditionally
guaranty payment on each Distribution Date of
timely payment of interest and ultimate payment
of principal due on the Senior Certificates. A
payment by the Certificate Insurer under the
Certificate Insurance Policy is referred to
herein as an "Insured Payment". The Certificate
Insurer will be entitled to reimbursement from
excess interest and the Overcollateralization
Amount for all Insured Payments together with
interest thereon.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
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PAINEWEBBER 5
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
DESCRIPTION OF SECURITIES (continued)
DISTRIBUTION PRIORITY: The total of all payments or other collections
(or advances in lieu thereof) on or in respect
of the loans (but excluding prepayment
premiums), net of servicing fees, trustee fees
and premium owed to the Certificate Insurer,
that, together with any insured payments,
generally will be allocated in the following
priority:
i. To pay current interest to the Senior
Certificates, paid pro rata;
ii. To pay as principal on the Class A-6
Certificates, up to the Principal
Distribution Amount, the Class A-6
Lockout Distribution Amount until the
Class A-6 Principal Balance has been
reduced to zero;
iii. To pay as principal on the Class A-1
through A-6 Certificates, sequentially,
up to the remaining Principal
Distribution Amount, until each of their
respective Principal Balances are
reduced to zero;
The lesser of (a) available funds remaining
after priorities i. through iii. above and (b)
the Class Z-IO Distribution Amount (the lesser
of (a) and (b) is the "Available Turbo Amount")
will be allocated as follows:
iv. To reimburse the Certificate Insurer for
all Insured Payments made by the
Certificate Insurer which have not been
repaid, together with interest thereon;
The lesser of (a) the amount of the Available
Turbo Amount remaining after priority iv. and
(b) any amount needed to maintain or reach the
Overcollateralization Target Amount (the lesser
of (a) and (b) is the "Class A Turbo Amount")
will be applied as follows:
v. To pay as principal on the Class A-6
Certificates, an amount up to the Class
A-6 Lockout Turbo Amount until the Class
A-6 Principal Balance has been reduced
to zero;
vi. To pay as principal on the Class A-1
through A-6 Certificates, sequentially,
until each of their respective Principal
Balances are reduced to zero;
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PAINEWEBBER 6
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
DESCRIPTION OF SECURITIES (continued)
DISTRIBUTION PRIORITY
(continued): Available funds remaining after priorities i.
through vi. will be allocated as follows:
vii. To pay the Class A-1, Class A-3, Class
A-4, Class A-5 and Class A-6
Certificates, pro rata, in accordance
with their entitlements to such amounts,
interest deferred from prior periods due
to the imposition of "available funds
caps" on their interest rates to the
extent currently payable, together with
interest on such amounts.
The Principal Distribution Amount represents
the amount of principal collected in respect of
the loans during the related due period.
CLASS Z-IO
DISTRIBUTION AMOUNT: With respect to any Distribution Date, an
amount equal to the lesser of (i) the product
of (A) the aggregate unpaid principal balance
of the loans as of the beginning of the prior
calendar month and (B) 1.93% per annum and (ii)
(A) all interest accrued on the loans at the
weighted average of the loan interest rates
(net of fees payable to the servicer and the
trustee and the insurance premium payable to
the Certificate Insurer, less (B) the Class
Z-IO Certificate's allocable share of any
Prepayment Interest Shortfalls for such
Distribution Date, and less (C) the aggregate
interest accrued on the Senior Certificates for
the such Distribution Date determined at the
applicable uncapped pass-through rate for such
Distribution Date.
AVAILABLE FUNDS CAP: For any Distribution Date, an amount equal to
(i) all interest that accrued on the loans at
their respective loan interest rates (net of
fees payable to the servicer and the trustee
and the insurance premium payable to the
Certificate Insurer) for the related due
period, less (ii) all interest accrued on the
Class A-2 and Class A-6IO Certificates for such
Distribution Date and, less (iii) all interest
accrued on the Class A-1, Class A-3, Class A-4,
Class A-5 and Class A-6 Certificates, in each
case, only if the uncapped pass-through rate
for such class for such Distribution Date is
less than or equal to the weighted average of
the loan interest rates (net of fees payable to
the servicer and the trustee and the insurance
premium payable to the Certificate Insurer) for
the related due period.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PAINEWEBBER 7
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
DESCRIPTION OF SECURITIES (continued)
CLASS A-6 LOCKOUT
DISTRIBUTION AMOUNT: For any Distribution Date, the product of (i)
the applicable Class A-6 Lockout Percentage and
(ii) the product of (a) the Class A-6 Principal
Balance divided by the aggregate Certificate
Principal Balance of the Senior Certificates
immediately prior to such Distribution Date,
and (b) the Principal Distribution Amount for
the Senior Certificates for such Distribution
Date.
CLASS A-6 LOCKOUT
TURBO AMOUNT: For any Distribution Date, the product of (i)
the applicable Class A-6 Lockout Percentage and
(ii) the product of (a) the Class A-6 Principal
Balance divided by the aggregate Certificate
Principal Balance of the Senior Certificates
immediately prior to such Distribution Date,
and (b) the Class A Turbo Amount for such
Distribution Date.
CLASS A-6 LOCKOUT
PERCENTAGE: Dates (Periods) Lockout Percentage
--------------- ------------------
June 1999 - May 2002 (1-36) 0%
June 2002 - May 2004 (37-60) 45%
June 2004 - May 2005 (61-72) 80%
June 2005 - May 2006 (73-84) 100%
June 2006 and
thereafter (85- ) 300%
OVERCOLLATERALIZATION
AMOUNT: As of any Distribution Date, the difference
between the loan balance of the loans and the
aggregate Certificate Principal Balance of the
Senior Certificates.
OVERCOLLATERALIZATION
TARGET AMOUNT: Prior to the Overcollateralization Stepdown
Date, an amount equal to 3.10% of the Cut-off
Date loan pool principal balance. On or after
the Overcollateralization Stepdown Date, an
amount generally equal to 6.20% of the then
outstanding aggregate unpaid principal balance
of the Loans (the "Pool Principal Balance").
Such Overcollateralization Stepdown Date will
be no earlier than June, 2002. The
Overcollateralization Target Amount may
increase or decrease over time and may be
modified from time to time by agreement of the
Certificate Insurer and the Transferor.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
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PAINEWEBBER 8
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
DESCRIPTION OF SECURITIES (continued)
FEDERAL TAX ASPECTS: The Trust will consist of one or more
segregated asset pools (each, a "REMIC") and a
grantor trust from which certain payments of
interest at the Pass-Through Rates are made.
Each class of the Offered Certificates will
represent a "regular interest" in a REMIC and
an interest in the grantor trust.
ERISA CONSIDERATION: All of the Senior Certificates are expected to
be ERISA eligible.
SMMEA ELIGIBILITY: The Certificates will NOT constitute
"mortgage-related securities" for purposes of
SMMEA.
PROSPECTUS: The Certificates are being offered pursuant to
a Prospectus which includes a Prospectus
Supplement (together, the "Prospectus").
Complete information with respect to the
Certificates and the loans 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 Certificates may not be
consummated unless the purchaser has received
the Prospectus.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
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PAINEWEBBER 9
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
BOND SENSITIVITY TO PREPAYMENTS
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
CLASS A-1 (to maturity)
- --------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 3.95 0.85 0.63 0.50 0.41 0.35
First Principal Payment 06/99 06/99 06/99 06/99 06/99 06/99
Last Principal Payment 05/07 01/01 08/00 05/00 03/00 01/00
Principal Window (years) 8.00 1.67 1.25 1.00 0.83 0.67
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
CLASS A-2 (to maturity)
- --------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 10.33 2.77 1.94 1.50 1.22 1.02
Yield @ 100.00 6.20% 6.09% 6.03% 5.96% 5.90% 5.83%
Modified Duration 7.42 2.47 1.78 1.39 1.14 0.96
First Principal Payment 05/07 01/01 08/00 05/00 03/00 01/00
Last Principal Payment 11/10 06/03 03/02 06/01 02/01 10/00
Principal Window (years) 3.58 2.50 1.67 1.17 1.00 0.83
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
CLASS A-3 (to maturity)
- --------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 15.07 5.89 4.03 3.00 2.35 1.94
Yield @ 100.00 6.42% 6.38% 6.34% 6.30% 6.26% 6.23%
Modified Duration 9.34 4.74 3.44 2.65 2.12 1.77
First Principal Payment 11/10 06/03 03/02 06/01 02/01 10/00
Last Principal Payment 12/19 10/07 01/05 07/03 08/02 12/01
Principal Window (years) 9.17 4.42 2.92 2.17 1.58 1.25
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
CLASS A-4 (to maturity)
- --------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
- --------------------------------------------------------------------------------------------------------------
Average Life (years) 23.26 9.89 6.85 5.00 3.88 3.05
Yield @ 100.00 6.86% 6.83% 6.81% 6.79% 6.76% 6.73%
Modified Duration 11.35 6.98 5.30 4.11 3.31 2.67
First Principal Payment 12/19 10/07 01/05 07/03 08/02 12/01
Last Principal Payment 12/24 09/10 11/07 06/05 01/04 02/03
Principal Window (years) 5.08 3.00 2.92 2.00 1.50 1.25
- --------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PAINEWEBBER 10
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (continued)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
CLASS A-5 (to maturity)
- --------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 27.43 14.88 11.44 8.86 6.86 5.33
Yield @ 100.00 7.28% 7.32% 7.31% 7.32% 7.30% 7.27%
Modified Duration 11.62 8.74 7.48 6.27 5.17 4.23
First Principal Payment 12/24 09/10 11/07 06/05 01/04 02/03
Last Principal Payment 07/28 05/24 08/18 05/14 07/11 11/09
Principal Window (years) 3.67 13.75 10.83 9.00 7.58 6.83
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
CLASS A-6 (to maturity)
- --------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 10.18 7.41 6.79 6.34 5.99 5.70
Yield @ 100.00 6.77% 6.76% 6.75% 6.76% 6.79% 6.82%
Modified Duration 7.01 5.58 5.22 4.95 4.73 4.55
First Principal Payment 06/02 06/02 06/02 06/02 07/02 07/02
Last Principal Payment 05/28 01/23 09/17 10/13 11/10 09/09
Principal Window (years) 26.00 20.67 15.33 11.42 8.42 7.25
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
CLASS A-6IO (to maturity)
- --------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Yield @ 14.33307 7.00% 7.00% 7.00% 7.00% 7.00% 7.00%
Modified Duration 0.98 0.98 0.98 0.98 0.98 0.98
- --------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PAINEWEBBER 11
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (continued)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
CLASS A-5 (to call)
- --------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.26 11.77 9.46 7.09 5.55 4.47
Yield @ par 7.28% 7.26% 7.25% 7.23% 7.21% 7.19%
Modified Duration 11.45 7.69 6.64 5.38 4.43 3.70
First Principal Payment 12/24 09/10 11/07 06/05 01/04 02/03
Last Principal Payment 09/25 03/11 12/08 09/06 03/05 02/04
Principal Window (years) 0.83 0.58 1.17 1.33 1.25 1.08
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
CLASS A-6 (to call)
- --------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 10.18 7.39 6.73 6.06 5.24 4.50
Yield @ par 6.77% 6.75% 6.75% 6.74% 6.73% 6.72%
Modified Duration 7.01 5.57 5.19 4.79 4.27 3.77
First Principal Payment 06/02 06/02 06/02 06/02 07/02 07/02
Last Principal Payment 09/25 03/11 12/08 09/06 03/05 02/04
Principal Window (years) 23.33 8.83 6.58 4.33 2.75 1.67
- --------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PAINEWEBBER 12
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- --------------------------------------------------------------------------------
FIXED RATE HOME EQUITY LOANS
Preliminary Characteristics of the Statistical Pool of Home Equity Loans as of
05/01/99
Total Number of Loans: 7,839
Total Outstanding Loan Balance: $436,889,824
Balloon (% of Total): 12.85%
Level Pay (% of Total): 87.15%
Average Loan Principal Balance: $55,733
Minimum Loan Balance: $1,844
Maximum Loan Balance: $647,210
Weighted Average CLTV: 80.30%
Weighted Average Coupon: 9.70%
Weighted Average Remaining Term to Maturity (months):
240
Weighted Average Seasoning (months): 10
Weighted Average Original Term (months): 250
Note: All of the above summary information ignores ZERO values, the weighted
averages may not reflect all loans in the pool.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PAINEWEBBER 13
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- --------------------------------------------------------------------------------
DESCRIPTION OF HOME EQUITY LOANS
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE ($) POOL (%)
<S> <C> <C> <C> <C>
State Alabama 2,657 136,749,429 31.30
Louisiana 1,404 69,818,613 15.98
Tennessee 905 57,555,028 13.17
Florida 607 36,576,418 8.37
Mississippi 802 36,147,151 8.27
Georgia 458 27,093,557 6.20
Arkansas 203 11,096,012 2.54
North Carolina 116 8,966,072 2.05
Illinois 73 7,300,905 1.67
Ohio 89 6,671,603 1.53
Virginia 92 5,667,040 1.30
Texas 60 5,472,548 1.25
South Carolina 95 5,297,649 1.21
Massachusetts 27 4,769,437 1.09
Kentucky 52 2,924,289 0.67
Indiana 42 2,659,830 0.61
California 23 2,291,083 0.52
Connecticut 15 1,704,478 0.39
New York 16 1,287,554 0.29
New Jersey 8 1,133,392 0.26
Washington 12 834,960 0.19
Arizona 9 710,110 0.16
Colorado 11 433,026 0.10
Wisconsin 6 430,241 0.10
Oregon 3 409,978 0.09
Missouri 8 404,632 0.09
Michigan 8 361,313 0.08
West Virginia 9 352,386 0.08
New Mexico 6 269,738 0.06
Oklahoma 4 258,699 0.06
Kansas 2 257,980 0.06
Nevada 4 235,690 0.05
Minnesota 5 207,947 0.05
Rhode Island 1 158,644 0.04
Utah 2 154,793 0.04
Pennsylvania 2 102,003 0.02
Maryland 1 67,711 0.02
Delaware 1 29,842 0.01
Idaho 1 28,044 0.01
-------- --------------- ---------
7,839 $436,889,824 100.00%
- -------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PAINEWEBBER 14
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- --------------------------------------------------------------------------------
DESCRIPTION OF HOME EQUITY LOANS (continued)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE ($) POOL (%)
<S> <C> <C> <C> <C>
Combined LTV 10.001 - 15.000% 5 151,669 0.03
15.001 - 20.000% 13 364,609 0.08
20.001 - 25.000% 24 487,141 0.11
25.001 - 30.000% 27 741,155 0.17
30.001 - 35.000% 49 1,462,562 0.33
35.001 - 40.000% 63 1,997,353 0.46
40.001 - 45.000% 102 3,841,895 0.88
45.001 - 50.000% 135 5,358,966 1.23
50.001 - 55.000% 148 6,634,063 1.52
55.001 - 60.000% 218 9,787,902 2.24
60.001 - 65.000% 300 16,748,904 3.83
65.001 - 70.000% 445 23,110,951 5.29
70.001 - 75.000% 759 43,542,801 9.97
75.001 - 80.000% 1,606 105,363,065 24.12
80.001 - 85.000% 1,451 84,385,484 19.32
85.001 - 90.000% 1,226 79,900,517 18.29
90.001 - 95.000% 344 18,750,535 4.29
95.001 - 100.000% 864 31,387,618 7.18
100.001 - 105.000% 60 2,872,636 0.66
-------- --------------- ---------
7,839 $436,889,824 100.00%
- -------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE ($) POOL (%)
<S> <C> <C> <C> <C>
Current Coupon 6.001 - 7.000% 108 5,618,622 1.29
7.001 - 8.000% 337 21,762,924 4.98
8.001 - 9.000% 1,606 106,615,932 24.40
9.001 - 10.000% 2,440 149,616,163 34.25
10.001 - 11.000% 2,131 108,048,847 24.73
11.001 - 12.000% 846 33,695,129 7.71
12.001 - 13.000% 271 8,413,664 1.93
13.001 - 14.000% 68 2,146,381 0.49
14.001 - 15.000% 20 641,503 0.15
15.001 - 16.000% 10 270,738 0.06
16.001 - 17.000% 2 59,921 0.01
-------- --------------- ---------
7,839 $436,889,824 100.00%
- -------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PAINEWEBBER 15
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- --------------------------------------------------------------------------------
DESCRIPTION OF HOME EQUITY LOANS (continued)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE ($) POOL (%)
<S> <C> <C> <C> <C>
Current Balance $0 - 0,000.00 87 699,287 0.16
10,000.01 - 15,000.00 296 3,838,052 0.88
15,000.01 - 20,000.00 442 7,836,962 1.79
20,000.01 - 30,000.00 1,198 30,336,735 6.94
30,000.01 - 40,000.00 1,269 44,630,560 10.22
40,000.01 - 50,000.00 1,148 51,836,991 11.87
50,000.01 - 100,000.00 2,602 177,166,695 40.55
100,000.01 - 250,000.00 741 101,973,952 23.34
250,000.01 - 500,000.00 54 17,375,250 3.98
500,000.01 - 1M 2 1,195,340 0.27
-------- --------------- ---------
7,839 $436,889,824 100.00%
- -------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE ($) POOL%
<S> <C> <C> <C> <C>
Lien Type First Lien 6,455 400,503,846 91.67
Second Lien 1,384 36,385,979 8.33
-------- --------------- ---------
7,839 $436,889,824 100.00%
- -------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE ($) POOL (%)
<S> <C> <C> <C> <C>
Property Type Single Family 7,054 402,546,634 92.14
Manufactured Housing 709 27,460,862 6.29
Town House 61 5,727,557 1.31
Two to Four Family 9 947,563 0.22
Condominium 6 207,208 0.05
-------- --------------- ---------
7,839 $436,889,824 100.00%
- -------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE ($) POOL (%)
<S> <C> <C> <C> <C>
Seasoning (months) 0 - 6 3,094 169,991,667 38.91
6+ - 12 2,327 146,226,387 33.47
12+ - 18 1,370 72,580,196 16.61
18+ - 24 610 29,780,044 6.82
Over 24 438 18,311,531 4.19
-------- --------------- ---------
7,839 $436,889,824 100.00%
- -------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PAINEWEBBER 16
<PAGE>
NEW SOUTH HOME EQUITY LOAN TRUST 1999-1
---------------------------------------
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- --------------------------------------------------------------------------------
DESCRIPTION OF HOME EQUITY LOANS (continued)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE ($) POOL (%)
<S> <C> <C> <C> <C>
Remain Term Up to 5 Yrs 86 1,408,597 0.32
5+ - 10 Yrs 890 48,733,250 11.15
10+ - 15 Yrs 3,871 169,159,752 38.72
15+ - 18 Yrs 35 1,664,923 0.38
18+ - 20 Yrs 757 40,470,435 9.26
20+ - 25 Yrs 128 5,166,824 1.18
25+ - 30 Yrs 2,072 170,286,044 38.98
-------- --------------- ---------
7,839 $436,889,824 100.00%
- -------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE ($) POOL (%)
<S> <C> <C> <C> <C>
Occupancy Primary 7,536 420,691,154 96.29
Investor 137 8,205,291 1.88
Secondary 166 7,993,380 1.83
-------- --------------- ---------
7,839 $436,889,824 100.00%
- -------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PAINEWEBBER 17
