<PAGE>
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON D.C. 20549
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES AND EXCHANGE ACT OF 1934
Date of Report March 12, 1998
PRUDENTIAL SECURITIES SECURED FINANCING CORPORATION
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
<TABLE>
<CAPTION>
<S> <C> <C>
Delaware 333-64765 13-3411414
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(State or other jurisdiction (Commission File Number) (IRS Employer Identification No.)
of incorporation)
One New York Plaza, 18th Floor
New York, New York 10292-2018
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(Address of Principal Executive Offices) (Zip Code)
</TABLE>
(212) 214-1000
--------------------------------
Registrant's telephone number including area code
Not applicable
--------------------------------
(Former name or former address, if changed sincelast report.)
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
<PAGE>
ITEM 5. OTHER EVENTS.
Attached as Exhibit 99.5 to this Current Report are certain materials
("Structural and Collateral Term Sheet") furnished to the Registrant by
Prudential Securities Incorporated, Morgan Stanley & Co. Incorporated and CIBC
Oppenheimer Corp. (collectively, the "Underwriters"), in respect of the
Prudential Securities Secured Financing Corporation Commercial Mortgage
Pass-Through Certificates, Series 1999-NRF1, Class A-1, Class A-2, Class B,
Class C, Class D and Class E Certificates (the "Certificates"). The
Certificates will be offered pursuant to a Prospectus dated October 29, 1998,
and a Prospectus Supplement thereto to be dated on or around March 25, 1999
(the Prospectus and the Prospectus Supplement are collectively referred to
herein as the "Prospectus") to be filed with the Commission pursuant to Rule
424(b)(2) under the Securities Act of 1933, as amended (the "Act"). The
Certificates have been registered pursuant to the Act under a Registration
Statement on Form S-3 (Commission File No. 333-50445)(the "Registration
Statement").
The Computational Materials were prepared by the Underwriters, and the
Registrant did not prepare or participate (other than providing to the
Underwriters certain background information concerning the underlying pool of
assets upon which the Computational Materials are based) in the preparation of
the Computational Materials.
Any statements or information contained in these Computational
Materials shall be deemed to be modified or superseded for the purposes of the
Prospectus and the Registration Statement by statements or information
contained in the Prospectus.
ITEM 7. FINANCIAL STATEMENTS: PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
(a) Not applicable.
(b) Not applicable
(c) Exhibits
99.5 Structural and Collateral Term Sheet
2
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act
of 1934, the registrant has duly caused this report to be signed on its behalf
by the undersigned hereunto duly authorized.
PRUDENTIAL SECURITIES SECURED FINANCING CORPORATION
By: /s/ Peter Riemenshneider
------------------------------------------
Peter Riemenschneider
Vice President
DATED: March 12, 1999
3
<PAGE>
EXHIBIT INDEX
Exhibit No. Description of Exhibit
- ----------- ----------------------
99.5 Structural and Collateral Term Sheet
<PAGE>
1
- --------------------------------------------------------------------------------
STRUCTURAL AND COLLATERAL TERM SHEET
PRUDENTIAL SECURITIES SECURED FINANCING CORPORATION (DEPOSITOR)
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1999-NRF1
- --------------------------------------------------------------------------------
$836,916,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
The information included herein is provided solely by Prudential Securities
Incorporated ("PSI"), CIBC Oppenheimer Corp. ("CIBCOPCO") and Morgan Stanley &
Co. Incorporated ("MSDW") as Underwriters for the Prudential Securities Secured
Financing Corporation Series 1999-NRF1 transaction. The analysis in this report
is accurate to the best of the Underwriters' knowledge and is based on
information provided by National Realty Funding L.C. ("NRF"), KeyCorp. ("KEY"),
and CIBC Oppenheimer Corp. ("CIBCOPCO"), collectively known as the
"Originators." Underwriters make no representations as to the accuracy of such
information. All opinions and conclusions in this report reflect Underwriters'
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 or commercial mortgage
loans. You should review the assumptions; there may be differences between these
assumptions and your actual business practices. Further, Underwriters do 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. Underwriters (or any of their affiliates) or their
officers, directors, analysts or employees may have positions in securities, or
derivative instruments thereon referred to herein, and may, as principal or
agent, buy or sell such securities, or derivative instruments. In addition,
Underwriters may make a market in the securities referred to herein, but are not
obligated to do so. Finally, Underwriters have not addressed the legal,
accounting and tax implications of the analysis with respect to you and the
Underwriters strongly urge you to seek advice from your counsel, accountant and
tax advisor.
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, or derivative instruments mentioned herein.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
2
- --------------------------------------------------------------------------------
STRUCTURAL AND COLLATERAL TERM SHEET
PRUDENTIAL SECURITIES SECURED FINANCING CORPORATION (DEPOSITOR)
COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1999-NRF1
$836,916,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PUBLICLY OFFERED CLASSES STRESS SCENARIOS
- --------------------------------------------------------------------------------
To illustrate the stability of the publicly offered Certificates, we have
provided the following stress scenario.
Scenario 1 0%, 25%, 50%, 75%, 100% CPR after Lock-out and Yield Maintenance.
Scenario 2 0%, 25%, 50%, 75%, 100% CPR after Lock-out, Yield Maintenance and
all fixed penalties.
Scenario 3 0%, 25%, 50%, 75%, 100% CPR after Lock-out, during Yield
Maintenance.
Scenario 4 a. 2% CDR starting in month 25, 25% severity, 12 month lag to
recovery.
b. 4% CDR starting in month 25, 25% severity, 12 month lag to
recovery.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
3
PSSFC 99-NRF1
SCENARIO 1: PREPAYMENT BEGINS AFTER LOCKOUT AND YIELD MAINTENANCE PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $190,500,000.00 DATED DATE: 03/01/99
COUPON: 6.374% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $190,500,000.00 BOND A-1 BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
98-16 6.748 6.789 6.806 6.818 6.839 BOND A-1
98-20 6.719 6.758 6.774 6.786 6.805
98-24 6.690 6.728 6.742 6.753 6.771 $190,500,000.00
98-28 6.661 6.697 6.710 6.721 6.738
99-00 6.632 6.666 6.679 6.688 6.704
99-04 6.603 6.636 6.647 6.656 6.671
99-08 6.574 6.605 6.616 6.624 6.638
99-12 6.546 6.574 6.584 6.592 6.604
99-16 6.517 6.544 6.553 6.560 6.571
99-20 6.488 6.514 6.521 6.528 6.538
99-24 6.460 6.483 6.490 6.496 6.505
99-28 6.431 6.453 6.459 6.464 6.472
100-00 6.403 6.423 6.428 6.432 6.439
100-04 6.374 6.392 6.397 6.400 6.406
100-08 6.346 6.362 6.366 6.368 6.373
100-12 6.317 6.332 6.334 6.337 6.340
100-16 6.289 6.302 6.304 6.305 6.307
100-20 6.261 6.272 6.273 6.273 6.274
100-24 6.233 6.242 6.242 6.242 6.242
100-28 6.205 6.212 6.211 6.210 6.209
101-00 6.176 6.183 6.180 6.179 6.177
101-04 6.148 6.153 6.150 6.148 6.144
101-08 6.120 6.123 6.119 6.116 6.112
101-12 6.093 6.093 6.088 6.085 6.079
101-16 6.065 6.064 6.058 6.054 6.047
101-20 6.037 6.034 6.027 6.023 6.015
101-24 6.009 6.005 5.997 5.992 5.982
101-28 5.981 5.975 5.966 5.961 5.950
102-00 5.954 5.946 5.936 5.930 5.918
102-04 5.926 5.916 5.906 5.899 5.886
102-08 5.898 5.887 5.876 5.868 5.854
102-12 5.871 5.858 5.845 5.837 5.822
First Payment 0.056 0.056 0.056 0.056 0.056
Average Life 5.501 5.102 4.919 4.795 4.599
Last Payment 8.806 7.972 7.639 7.472 7.222
Mod.Dur. @ 100-16 4.382 4.126 4.003 3.918 3.781
Accrued Interest 0.425 0.425 0.425 0.425 0.425
Treas to Avg Life 5.292 5.284 5.279 5.275 5.267
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND A-1 AAA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
4
PSSFC 99-NRF1
SCENARIO 1: PREPAYMENT BEGINS AFTER LOCKOUT AND YIELD MAINTENANCE PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $486,554,000.00 DATED DATE: 03/01/99
COUPON: 6.726% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $486,554,000.00 BOND A-2 BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
99-16 6.856 6.860 6.867 6.873 6.881 BOND A-2
99-20 6.838 6.841 6.848 6.854 6.861
99-24 6.819 6.823 6.829 6.835 6.841 $486,554,000.00
99-28 6.801 6.804 6.810 6.816 6.822
100-00 6.782 6.785 6.791 6.797 6.802
100-04 6.764 6.767 6.772 6.778 6.782
100-08 6.746 6.748 6.753 6.759 6.763
100-12 6.727 6.729 6.735 6.740 6.743
100-16 6.709 6.711 6.716 6.721 6.724
100-20 6.691 6.692 6.697 6.702 6.704
100-24 6.672 6.674 6.678 6.683 6.685
100-28 6.654 6.656 6.660 6.664 6.665
101-00 6.636 6.637 6.641 6.645 6.646
101-04 6.618 6.619 6.623 6.626 6.627
101-08 6.600 6.600 6.604 6.607 6.607
101-12 6.582 6.582 6.585 6.589 6.588
101-16 6.564 6.564 6.567 6.570 6.569
101-20 6.545 6.546 6.548 6.551 6.550
101-24 6.527 6.527 6.530 6.532 6.530
101-28 6.509 6.509 6.512 6.514 6.511
102-00 6.492 6.491 6.493 6.495 6.492
102-04 6.474 6.473 6.475 6.477 6.473
102-08 6.456 6.455 6.456 6.458 6.454
102-12 6.438 6.437 6.438 6.440 6.435
102-16 6.420 6.418 6.420 6.421 6.416
102-20 6.402 6.400 6.402 6.403 6.397
102-24 6.384 6.382 6.383 6.384 6.378
102-28 6.367 6.364 6.365 6.366 6.359
103-00 6.349 6.347 6.347 6.347 6.340
103-04 6.331 6.329 6.329 6.329 6.321
103-08 6.313 6.311 6.311 6.311 6.302
103-12 6.296 6.293 6.293 6.292 6.283
First Payment 8.806 7.972 7.639 7.472 7.222
Average Life 9.416 9.265 9.114 8.972 8.643
Last Payment 9.806 9.806 9.722 9.722 9.472
Mod.Dur. @ 101-16 6.789 6.709 6.627 6.550 6.369
Accrued Interest 0.448 0.448 0.448 0.448 0.448
Treas to Avg Life 5.367 5.364 5.361 5.358 5.352
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND A-2 AAA CLASS
</TABLE>
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
5
PSSFC 99-NRF1
SCENARIO 1: PREPAYMENT BEGINS AFTER LOCKOUT AND YIELD MAINTENANCE PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $51,720,000.00 DATED DATE: 03/01/99
COUPON: 6.824% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $51,720,000.00 BOND B BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
99-16 6.956 6.956 6.957 6.959 6.967 BOND B
99-20 6.938 6.938 6.939 6.941 6.949
99-24 6.919 6.920 6.921 6.922 6.930 $51,720,000.00
99-28 6.901 6.902 6.903 6.904 6.912
100-00 6.884 6.884 6.885 6.886 6.893
100-04 6.866 6.866 6.867 6.868 6.875
100-08 6.848 6.848 6.849 6.850 6.857
100-12 6.830 6.830 6.831 6.832 6.838
100-16 6.812 6.812 6.813 6.815 6.820
100-20 6.794 6.795 6.795 6.797 6.802
100-24 6.776 6.777 6.777 6.779 6.784
100-28 6.758 6.759 6.760 6.761 6.766
101-00 6.741 6.741 6.742 6.743 6.747
101-04 6.723 6.724 6.724 6.725 6.729
101-08 6.705 6.706 6.706 6.708 6.711
101-12 6.688 6.688 6.689 6.690 6.693
101-16 6.670 6.671 6.671 6.672 6.675
101-20 6.652 6.653 6.654 6.655 6.657
101-24 6.635 6.635 6.636 6.637 6.639
101-28 6.617 6.618 6.618 6.619 6.621
102-00 6.600 6.600 6.601 6.602 6.603
102-04 6.582 6.583 6.583 6.584 6.585
102-08 6.565 6.565 6.566 6.567 6.567
102-12 6.547 6.548 6.548 6.549 6.550
102-16 6.530 6.530 6.531 6.532 6.532
102-20 6.513 6.513 6.514 6.514 6.514
102-24 6.495 6.496 6.496 6.497 6.496
102-28 6.478 6.478 6.479 6.479 6.479
103-00 6.460 6.461 6.462 6.462 6.461
103-04 6.443 6.444 6.444 6.445 6.443
103-08 6.426 6.426 6.427 6.427 6.426
103-12 6.409 6.409 6.410 6.410 6.408
First Payment 9.806 9.806 9.722 9.722 9.472
Average Life 9.806 9.806 9.796 9.763 9.505
Last Payment 9.806 9.806 9.806 9.806 9.639
Mod.Dur. @ 101-16 6.957 6.957 6.952 6.936 6.805
Accrued Interest 0.455 0.455 0.455 0.455 0.455
Treas to Avg Life 5.374 5.374 5.374 5.373 5.368
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND B AA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
6
PSSFC 99-NRF1
SCENARIO 1: PREPAYMENT BEGINS AFTER LOCKOUT AND YIELD MAINTENANCE PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $47,018,000.00 DATED DATE: 03/01/99
COUPON: 6.972% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $47,018,000.00 BOND C BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
99-16 7.107 7.108 7.109 7.109 7.109 BOND C
99-20 7.089 7.090 7.091 7.091 7.091
99-24 7.071 7.072 7.073 7.073 7.072 $47,018,000.00
99-28 7.053 7.054 7.055 7.055 7.054
100-00 7.035 7.036 7.036 7.037 7.036
100-04 7.017 7.018 7.018 7.019 7.017
100-08 6.999 7.000 7.000 7.001 6.999
100-12 6.981 6.982 6.982 6.983 6.981
100-16 6.963 6.964 6.964 6.965 6.963
100-20 6.945 6.946 6.946 6.947 6.944
100-24 6.927 6.928 6.929 6.929 6.926
100-28 6.909 6.910 6.911 6.911 6.908
101-00 6.892 6.892 6.893 6.893 6.890
101-04 6.874 6.874 6.875 6.875 6.872
101-08 6.856 6.857 6.857 6.857 6.854
101-12 6.838 6.839 6.839 6.840 6.836
101-16 6.821 6.821 6.822 6.822 6.818
101-20 6.803 6.804 6.804 6.804 6.800
101-24 6.785 6.786 6.786 6.786 6.782
101-28 6.768 6.768 6.769 6.769 6.764
102-00 6.750 6.751 6.751 6.751 6.746
102-04 6.732 6.733 6.734 6.734 6.728
102-08 6.715 6.716 6.716 6.716 6.711
102-12 6.697 6.698 6.698 6.698 6.693
102-16 6.680 6.681 6.681 6.681 6.675
102-20 6.662 6.663 6.663 6.663 6.657
102-24 6.645 6.646 6.646 6.646 6.640
102-28 6.628 6.628 6.629 6.628 6.622
103-00 6.610 6.611 6.611 6.611 6.604
103-04 6.593 6.593 6.594 6.594 6.587
103-08 6.576 6.576 6.576 6.576 6.569
103-12 6.558 6.559 6.559 6.559 6.552
First Payment 9.806 9.806 9.806 9.806 9.639
Average Life 9.852 9.839 9.825 9.807 9.639
Last Payment 9.889 9.889 9.889 9.889 9.639
Mod.Dur. @ 101-16 6.931 6.925 6.918 6.909 6.826
Accrued Interest 0.465 0.465 0.465 0.465 0.465
Treas to Avg Life 5.375 5.375 5.374 5.374 5.371
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND C A CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
7
PSSFC 99-NRF1
SCENARIO 1: PREPAYMENT BEGINS AFTER LOCKOUT AND YIELD MAINTENANCE PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $47,018,000.00 DATED DATE: 03/01/99
COUPON: 7.435% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $47,018,000.00 BOND D BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
96-00 8.022 8.037 8.051 8.061 8.078 BOND D
96-04 8.004 8.019 8.032 8.042 8.059
96-08 7.985 8.000 8.013 8.023 8.039 $47,018,000.00
96-12 7.967 7.981 7.995 8.004 8.020
96-16 7.948 7.963 7.976 7.985 8.001
96-20 7.930 7.944 7.957 7.966 7.981
96-24 7.912 7.926 7.938 7.947 7.962
96-28 7.893 7.907 7.920 7.928 7.943
97-00 7.875 7.889 7.901 7.910 7.924
97-04 7.857 7.870 7.882 7.891 7.904
97-08 7.839 7.852 7.864 7.872 7.885
97-12 7.820 7.833 7.845 7.853 7.866
97-16 7.802 7.815 7.827 7.835 7.847
97-20 7.784 7.797 7.808 7.816 7.828
97-24 7.766 7.778 7.790 7.797 7.809
97-28 7.748 7.760 7.771 7.779 7.790
98-00 7.730 7.742 7.753 7.760 7.771
98-04 7.712 7.724 7.734 7.742 7.752
98-08 7.694 7.706 7.716 7.723 7.733
98-12 7.676 7.687 7.698 7.705 7.715
98-16 7.658 7.669 7.679 7.686 7.696
98-20 7.640 7.651 7.661 7.668 7.677
98-24 7.622 7.633 7.643 7.649 7.658
98-28 7.604 7.615 7.625 7.631 7.639
99-00 7.587 7.597 7.607 7.613 7.621
99-04 7.569 7.579 7.588 7.594 7.602
99-08 7.551 7.561 7.570 7.576 7.584
99-12 7.533 7.543 7.552 7.558 7.565
99-16 7.516 7.526 7.534 7.540 7.546
99-20 7.498 7.508 7.516 7.521 7.528
99-24 7.480 7.490 7.498 7.503 7.509
99-28 7.463 7.472 7.480 7.485 7.491
First Payment 9.889 9.889 9.889 9.889 9.639
Average Life 10.531 10.379 10.220 10.082 9.801
Last Payment 10.639 10.639 10.639 10.389 10.222
Mod.Dur. @ 98-00 7.036 6.969 6.898 6.836 6.706
Accrued Interest 0.496 0.496 0.496 0.496 0.496
Treas to Avg Life 5.386 5.383 5.381 5.379 5.374
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND D BBB CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
8
PSSFC 99-NRF1
SCENARIO 1: PREPAYMENT BEGINS AFTER LOCKOUT AND YIELD MAINTENANCE PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $14,106,000.00 DATED DATE: 03/01/99
COUPON: 7.435% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $14,106,000.00 BOND E BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
89-00 9.103 9.108 9.112 9.136 9.162 BOND E
89-04 9.083 9.087 9.092 9.115 9.142
89-08 9.062 9.067 9.072 9.095 9.121 $14,106,000.00
89-12 9.042 9.047 9.051 9.074 9.100
89-16 9.022 9.027 9.031 9.054 9.079
89-20 9.002 9.006 9.011 9.033 9.058
89-24 8.982 8.986 8.991 9.013 9.038
89-28 8.961 8.966 8.971 8.993 9.017
90-00 8.941 8.946 8.950 8.973 8.997
90-04 8.921 8.926 8.930 8.952 8.976
90-08 8.901 8.906 8.910 8.932 8.955
90-12 8.881 8.886 8.890 8.912 8.935
90-16 8.861 8.866 8.871 8.892 8.914
90-20 8.842 8.846 8.851 8.872 8.894
90-24 8.822 8.826 8.831 8.852 8.874
90-28 8.802 8.807 8.811 8.832 8.853
91-00 8.782 8.787 8.791 8.812 8.833
91-04 8.762 8.767 8.771 8.792 8.813
91-08 8.743 8.747 8.752 8.772 8.793
91-12 8.723 8.728 8.732 8.752 8.772
91-16 8.703 8.708 8.712 8.732 8.752
91-20 8.684 8.688 8.693 8.713 8.732
91-24 8.664 8.669 8.673 8.693 8.712
91-28 8.645 8.649 8.654 8.673 8.692
92-00 8.625 8.630 8.634 8.653 8.672
92-04 8.606 8.610 8.615 8.634 8.652
92-08 8.586 8.591 8.595 8.614 8.632
92-12 8.567 8.572 8.576 8.595 8.612
92-16 8.547 8.552 8.557 8.575 8.592
92-20 8.528 8.533 8.537 8.556 8.572
92-24 8.509 8.514 8.518 8.536 8.553
92-28 8.490 8.494 8.499 8.517 8.533
First Payment 10.639 10.639 10.639 10.389 10.222
Average Life 10.639 10.639 10.639 10.494 10.222
Last Payment 10.639 10.639 10.639 10.639 10.222
Mod.Dur. @ 91-00 6.912 6.912 6.912 6.851 6.735
Accrued Interest 0.496 0.496 0.496 0.496 0.496
Treas to Avg Life 5.387 5.387 5.387 5.385 5.381
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND E BBB- CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
9
PSSFC 99-NRF1
SCENARIO 2: PREPAYMENT BEGINS AFTER LOCKOUT, YIELD MAINTENANCE AND PREPAYMENT
PENALTY PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $190,500,000.00 DATED DATE: 03/01/99
COUPON: 6.374% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $190,500,000.00 BOND A-1 BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
98-16 6.748 6.749 6.750 6.751 6.755 BOND A-1
98-20 6.719 6.720 6.721 6.722 6.725
98-24 6.690 6.691 6.691 6.692 6.695 $190,500,000.00
98-28 6.661 6.662 6.662 6.663 6.666
99-00 6.632 6.633 6.633 6.634 6.636
99-04 6.603 6.604 6.604 6.605 6.606
99-08 6.574 6.575 6.575 6.576 6.577
99-12 6.546 6.546 6.546 6.546 6.548
99-16 6.517 6.517 6.517 6.517 6.518
99-20 6.488 6.488 6.488 6.489 6.489
99-24 6.460 6.460 6.460 6.460 6.460
99-28 6.431 6.431 6.431 6.431 6.430
100-00 6.403 6.402 6.402 6.402 6.401
100-04 6.374 6.374 6.374 6.373 6.372
100-08 6.346 6.345 6.345 6.345 6.343
100-12 6.317 6.317 6.317 6.316 6.314
100-16 6.289 6.289 6.288 6.287 6.285
100-20 6.261 6.260 6.260 6.259 6.256
100-24 6.233 6.232 6.231 6.230 6.228
100-28 6.205 6.204 6.203 6.202 6.199
101-00 6.176 6.176 6.175 6.174 6.170
101-04 6.148 6.147 6.146 6.145 6.141
101-08 6.120 6.119 6.118 6.117 6.113
101-12 6.093 6.091 6.090 6.089 6.084
101-16 6.065 6.063 6.062 6.061 6.056
101-20 6.037 6.035 6.034 6.033 6.027
101-24 6.009 6.007 6.006 6.004 5.999
101-28 5.981 5.980 5.978 5.976 5.970
102-00 5.954 5.952 5.950 5.948 5.942
102-04 5.926 5.924 5.922 5.920 5.914
102-08 5.898 5.896 5.895 5.893 5.885
102-12 5.871 5.869 5.867 5.865 5.857
First Payment 0.056 0.056 0.056 0.056 0.056
Average Life 5.501 5.477 5.454 5.430 5.346
Last Payment 8.806 8.722 8.639 8.472 8.222
Mod.Dur. @ 100-16 4.382 4.367 4.353 4.338 4.284
Accrued Interest 0.425 0.425 0.425 0.425 0.425
Treas to Avg Life 5.292 5.292 5.291 5.291 5.289
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND A-1 AAA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
10
PSSFC 99-NRF1
SCENARIO 2: PREPAYMENT BEGINS AFTER LOCKOUT, YIELD MAINTENANCE AND PREPAYMENT
PENALTY PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $486,554,000.00 DATED DATE: 03/01/99
COUPON: 6.726% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $486,554,000.00 BOND A-2 BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
99-16 6.856 6.856 6.856 6.857 6.858 BOND A-2
99-20 6.838 6.838 6.838 6.838 6.838
99-24 6.819 6.819 6.819 6.819 6.819 $486,554,000.00
99-28 6.801 6.801 6.801 6.800 6.800
100-00 6.782 6.782 6.782 6.782 6.781
100-04 6.764 6.764 6.763 6.763 6.762
100-08 6.746 6.745 6.745 6.745 6.743
100-12 6.727 6.727 6.726 6.726 6.724
100-16 6.709 6.709 6.708 6.707 6.705
100-20 6.691 6.690 6.690 6.689 6.686
100-24 6.672 6.672 6.671 6.670 6.667
100-28 6.654 6.654 6.653 6.652 6.648
101-00 6.636 6.635 6.635 6.633 6.629
101-04 6.618 6.617 6.616 6.615 6.610
101-08 6.600 6.599 6.598 6.597 6.591
101-12 6.582 6.581 6.580 6.578 6.572
101-16 6.564 6.563 6.561 6.560 6.554
101-20 6.545 6.544 6.543 6.542 6.535
101-24 6.527 6.526 6.525 6.523 6.516
101-28 6.509 6.508 6.507 6.505 6.497
102-00 6.492 6.490 6.489 6.487 6.479
102-04 6.474 6.472 6.471 6.469 6.460
102-08 6.456 6.454 6.453 6.451 6.441
102-12 6.438 6.436 6.435 6.432 6.423
102-16 6.420 6.418 6.417 6.414 6.404
102-20 6.402 6.401 6.399 6.396 6.386
102-24 6.384 6.383 6.381 6.378 6.367
102-28 6.367 6.365 6.363 6.360 6.349
103-00 6.349 6.347 6.345 6.342 6.330
103-04 6.331 6.329 6.327 6.324 6.312
103-08 6.313 6.312 6.309 6.306 6.294
103-12 6.296 6.294 6.291 6.288 6.275
First Payment 8.806 8.722 8.639 8.472 8.222
Average Life 9.416 9.369 9.312 9.237 8.936
Last Payment 9.806 9.806 9.806 9.722 9.472
Mod.Dur. @ 101-16 6.789 6.764 6.734 6.695 6.535
Accrued Interest 0.448 0.448 0.448 0.448 0.448
Treas to Avg Life 5.367 5.366 5.365 5.363 5.357
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND A-2 AAA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
11
PSSFC 99-NRF1
SCENARIO 2: PREPAYMENT BEGINS AFTER LOCKOUT, YIELD MAINTENANCE AND PREPAYMENT
PENALTY PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $51,720,000.00 DATED DATE: 03/01/99
COUPON: 6.824% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $51,720,000.00 BOND B BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
99-16 6.956 6.956 6.956 6.956 6.956 BOND B
99-20 6.938 6.938 6.938 6.938 6.938
99-24 6.919 6.919 6.919 6.919 6.919 $51,720,000.00
99-28 6.901 6.901 6.901 6.901 6.901
100-00 6.884 6.884 6.884 6.883 6.883
100-04 6.866 6.866 6.866 6.865 6.865
100-08 6.848 6.848 6.848 6.848 6.846
100-12 6.830 6.830 6.830 6.830 6.828
100-16 6.812 6.812 6.812 6.812 6.810
100-20 6.794 6.794 6.794 6.794 6.792
100-24 6.776 6.776 6.776 6.776 6.774
100-28 6.758 6.758 6.758 6.758 6.756
101-00 6.741 6.741 6.741 6.740 6.737
101-04 6.723 6.723 6.723 6.723 6.719
101-08 6.705 6.705 6.705 6.705 6.701
101-12 6.688 6.688 6.688 6.687 6.683
101-16 6.670 6.670 6.670 6.670 6.665
101-20 6.652 6.652 6.652 6.652 6.648
101-24 6.635 6.635 6.635 6.634 6.630
101-28 6.617 6.617 6.617 6.617 6.612
102-00 6.600 6.600 6.600 6.599 6.594
102-04 6.582 6.582 6.582 6.582 6.576
102-08 6.565 6.565 6.565 6.564 6.558
102-12 6.547 6.547 6.547 6.547 6.541
102-16 6.530 6.530 6.530 6.529 6.523
102-20 6.513 6.513 6.513 6.512 6.505
102-24 6.495 6.495 6.495 6.494 6.487
102-28 6.478 6.478 6.478 6.477 6.470
103-00 6.460 6.460 6.460 6.460 6.452
103-04 6.443 6.443 6.443 6.442 6.435
103-08 6.426 6.426 6.426 6.425 6.417
103-12 6.409 6.409 6.409 6.408 6.400
First Payment 9.806 9.806 9.806 9.722 9.472
Average Life 9.806 9.806 9.806 9.783 9.563
Last Payment 9.806 9.806 9.806 9.806 9.639
Mod.Dur. @ 101-16 6.957 6.957 6.957 6.945 6.834
Accrued Interest 0.455 0.455 0.455 0.455 0.455
Treas to Avg Life 5.374 5.374 5.374 5.374 5.369
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND B AA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
12
PSSFC 99-NRF1
SCENARIO 2: PREPAYMENT BEGINS AFTER LOCKOUT, YIELD MAINTENANCE AND PREPAYMENT
PENALTY PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $47,018,000.00 DATED DATE: 03/01/99
COUPON: 6.972% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $47,018,000.00 BOND C BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
99-16 7.107 7.107 7.107 7.107 7.108 BOND C
99-20 7.089 7.089 7.089 7.089 7.089
99-24 7.071 7.071 7.071 7.071 7.071 $47,018,000.00
99-28 7.053 7.053 7.053 7.053 7.053
100-00 7.035 7.035 7.035 7.035 7.034
100-04 7.017 7.017 7.017 7.017 7.016
100-08 6.999 6.999 6.999 6.999 6.998
100-12 6.981 6.981 6.981 6.981 6.979
100-16 6.963 6.963 6.963 6.963 6.961
100-20 6.945 6.945 6.945 6.945 6.943
100-24 6.927 6.927 6.927 6.927 6.925
100-28 6.909 6.909 6.909 6.909 6.907
101-00 6.892 6.891 6.891 6.891 6.889
101-04 6.874 6.874 6.874 6.873 6.871
101-08 6.856 6.856 6.856 6.856 6.853
101-12 6.838 6.838 6.838 6.838 6.835
101-16 6.821 6.820 6.820 6.820 6.817
101-20 6.803 6.803 6.803 6.802 6.799
101-24 6.785 6.785 6.785 6.785 6.781
101-28 6.768 6.767 6.767 6.767 6.763
102-00 6.750 6.750 6.750 6.750 6.745
102-04 6.732 6.732 6.732 6.732 6.727
102-08 6.715 6.715 6.715 6.714 6.710
102-12 6.697 6.697 6.697 6.697 6.692
102-16 6.680 6.680 6.680 6.679 6.674
102-20 6.662 6.662 6.662 6.662 6.656
102-24 6.645 6.645 6.645 6.644 6.639
102-28 6.628 6.627 6.627 6.627 6.621
103-00 6.610 6.610 6.610 6.610 6.603
103-04 6.593 6.593 6.593 6.592 6.586
103-08 6.576 6.575 6.575 6.575 6.568
103-12 6.558 6.558 6.558 6.558 6.551
First Payment 9.806 9.806 9.806 9.806 9.639
Average Life 9.852 9.847 9.840 9.831 9.646
Last Payment 9.889 9.889 9.889 9.889 9.722
Mod.Dur. @ 101-16 6.931 6.928 6.925 6.921 6.829
Accrued Interest 0.465 0.465 0.465 0.465 0.465
Treas to Avg Life 5.375 5.375 5.375 5.374 5.371
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND C A CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
13
PSSFC 99-NRF1
SCENARIO 2: PREPAYMENT BEGINS AFTER LOCKOUT, YIELD MAINTENANCE AND PREPAYMENT
PENALTY PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $47,018,000.00 DATED DATE: 03/01/99
COUPON: 7.435% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $47,018,000.00 BOND D BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
96-00 8.022 8.024 8.026 8.029 8.040 BOND D
96-04 8.004 8.005 8.008 8.011 8.021
96-08 7.985 7.987 7.989 7.992 8.002 $47,018,000.00
96-12 7.967 7.968 7.970 7.973 7.983
96-16 7.948 7.950 7.952 7.955 7.964
96-20 7.930 7.932 7.933 7.936 7.945
96-24 7.912 7.913 7.915 7.918 7.926
96-28 7.893 7.895 7.897 7.899 7.908
97-00 7.875 7.876 7.878 7.881 7.889
97-04 7.857 7.858 7.860 7.862 7.870
97-08 7.839 7.840 7.841 7.844 7.851
97-12 7.820 7.822 7.823 7.825 7.833
97-16 7.802 7.803 7.805 7.807 7.814
97-20 7.784 7.785 7.787 7.789 7.796
97-24 7.766 7.767 7.768 7.770 7.777
97-28 7.748 7.749 7.750 7.752 7.759
98-00 7.730 7.731 7.732 7.734 7.740
98-04 7.712 7.713 7.714 7.716 7.722
98-08 7.694 7.695 7.696 7.697 7.703
98-12 7.676 7.677 7.678 7.679 7.685
98-16 7.658 7.659 7.660 7.661 7.666
98-20 7.640 7.641 7.642 7.643 7.648
98-24 7.622 7.623 7.624 7.625 7.630
98-28 7.604 7.605 7.606 7.607 7.611
99-00 7.587 7.587 7.588 7.589 7.593
99-04 7.569 7.569 7.570 7.571 7.575
99-08 7.551 7.551 7.552 7.553 7.557
99-12 7.533 7.534 7.534 7.535 7.539
99-16 7.516 7.516 7.516 7.517 7.521
99-20 7.498 7.498 7.499 7.499 7.502
99-24 7.480 7.481 7.481 7.482 7.484
99-28 7.463 7.463 7.463 7.464 7.466
First Payment 9.889 9.889 9.889 9.889 9.722
Average Life 10.531 10.489 10.438 10.363 10.158
Last Payment 10.639 10.639 10.639 10.639 10.222
Mod.Dur. @ 98-00 7.036 7.018 6.995 6.962 6.870
Accrued Interest 0.496 0.496 0.496 0.496 0.496
Treas to Avg Life 5.386 5.385 5.384 5.383 5.380
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND D BBB CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
14
PSSFC 99-NRF1
SCENARIO 2: PREPAYMENT BEGINS AFTER LOCKOUT, YIELD MAINTENANCE AND PREPAYMENT
PENALTY PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $14,106,000.00 DATED DATE: 03/01/99
COUPON: 7.435% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $14,106,000.00 BOND E BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
89-00 9.103 9.104 9.104 9.105 9.150 BOND E
89-04 9.083 9.083 9.084 9.084 9.129
89-08 9.062 9.063 9.063 9.064 9.108 $14,106,000.00
89-12 9.042 9.043 9.043 9.044 9.087
89-16 9.022 9.022 9.023 9.024 9.067
89-20 9.002 9.002 9.003 9.003 9.046
89-24 8.982 8.982 8.983 8.983 9.025
89-28 8.961 8.962 8.962 8.963 9.005
90-00 8.941 8.942 8.942 8.943 8.984
90-04 8.921 8.922 8.922 8.923 8.963
90-08 8.901 8.902 8.902 8.903 8.943
90-12 8.881 8.882 8.882 8.883 8.922
90-16 8.861 8.862 8.862 8.863 8.902
90-20 8.842 8.842 8.843 8.843 8.882
90-24 8.822 8.822 8.823 8.823 8.861
90-28 8.802 8.802 8.803 8.803 8.841
91-00 8.782 8.783 8.783 8.784 8.821
91-04 8.762 8.763 8.763 8.764 8.800
91-08 8.743 8.743 8.744 8.744 8.780
91-12 8.723 8.723 8.724 8.725 8.760
91-16 8.703 8.704 8.704 8.705 8.740
91-20 8.684 8.684 8.685 8.685 8.720
91-24 8.664 8.665 8.665 8.666 8.700
91-28 8.645 8.645 8.646 8.646 8.679
92-00 8.625 8.626 8.626 8.627 8.659
92-04 8.606 8.606 8.607 8.607 8.639
92-08 8.586 8.587 8.587 8.588 8.620
92-12 8.567 8.567 8.568 8.568 8.600
92-16 8.547 8.548 8.548 8.549 8.580
92-20 8.528 8.529 8.529 8.530 8.560
92-24 8.509 8.509 8.510 8.510 8.540
92-28 8.490 8.490 8.491 8.491 8.520
First Payment 10.639 10.639 10.639 10.639 10.222
Average Life 10.639 10.639 10.639 10.639 10.222
Last Payment 10.639 10.639 10.639 10.639 10.222
Mod.Dur. @ 91-00 6.912 6.912 6.912 6.912 6.736
Accrued Interest 0.496 0.496 0.496 0.496 0.496
Treas to Avg Life 5.387 5.387 5.387 5.387 5.381
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND E BBB- CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
15
PSSFC 99-NRF1
SCENARIO 3: PREPAYMENT BEGINS AFTER LOCKOUT PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $190,500,000.00 DATED DATE: 03/01/99
COUPON: 6.374% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $190,500,000.00 BOND A-1 BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.00% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
98-16 6.748 11.940 19.298 32.381 240.276 BOND A-1
98-20 6.719 11.829 19.069 31.936 235.301
98-24 6.690 11.717 18.841 31.493 230.388 $190,500,000.00
98-28 6.661 11.607 18.614 31.052 225.536
99-00 6.632 11.496 18.387 30.613 220.745
99-04 6.603 11.386 18.161 30.175 216.015
99-08 6.574 11.276 17.936 29.738 211.343
99-12 6.546 11.166 17.711 29.304 206.729
99-16 6.517 11.057 17.487 28.871 202.173
99-20 6.488 10.948 17.263 28.439 197.673
99-24 6.460 10.839 17.041 28.009 193.229
99-28 6.431 10.730 16.818 27.581 188.840
100-00 6.403 10.621 16.597 27.154 184.506
100-04 6.374 10.513 16.376 26.729 180.225
100-08 6.346 10.405 16.156 26.306 175.998
100-12 6.317 10.297 15.936 25.884 171.822
100-16 6.289 10.190 15.717 25.463 167.698
100-20 6.261 10.083 15.499 25.044 163.624
100-24 6.233 9.976 15.281 24.627 159.601
100-28 6.205 9.869 15.064 24.211 155.627
101-00 6.176 9.762 14.847 23.797 151.702
101-04 6.148 9.656 14.631 23.384 147.825
101-08 6.120 9.550 14.416 22.972 143.995
101-12 6.093 9.444 14.201 22.562 140.212
101-16 6.065 9.339 13.987 22.154 136.475
101-20 6.037 9.234 13.773 21.747 132.784
101-24 6.009 9.128 13.560 21.342 129.138
101-28 5.981 9.024 13.348 20.938 125.536
102-00 5.954 8.919 13.136 20.535 121.978
102-04 5.926 8.815 12.925 20.134 118.463
102-08 5.898 8.711 12.714 19.734 114.990
102-12 5.871 8.607 12.504 19.336 111.560
First Payment 0.056 0.056 0.056 0.056 0.056
Average Life 5.501 1.309 0.645 0.347 0.056
Last Payment 8.806 2.806 1.472 0.806 0.056
Mod.Dur. @ 100-16 4.382 1.154 0.566 0.295 0.030
Accrued Interest 0.425 0.425 0.425 0.425 0.425
Treas to Avg Life 5.292 4.966 4.767 4.640 4.589
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND A-1 AAA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
16
PSSFC 99-NRF1
SCENARIO 3: PREPAYMENT BEGINS AFTER LOCKOUT PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $486,554,000.00 DATED DATE: 03/01/99
COUPON: 6.726% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $486,554,000.00 BOND A-2 BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.00% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
99-16 6.856 7.204 7.510 7.708 8.000 BOND A-2
99-20 6.838 7.180 7.481 7.676 7.962
99-24 6.819 7.156 7.452 7.644 7.924 $486,554,000.00
99-28 6.801 7.132 7.423 7.611 7.887
100-00 6.782 7.108 7.395 7.579 7.849
100-04 6.764 7.084 7.366 7.547 7.812
100-08 6.746 7.060 7.337 7.515 7.775
100-12 6.727 7.036 7.308 7.483 7.738
100-16 6.709 7.012 7.280 7.451 7.701
100-20 6.691 6.988 7.251 7.419 7.664
100-24 6.672 6.965 7.223 7.387 7.627
100-28 6.654 6.941 7.194 7.356 7.590
101-00 6.636 6.917 7.166 7.324 7.553
101-04 6.618 6.893 7.137 7.292 7.517
101-08 6.600 6.870 7.109 7.261 7.480
101-12 6.582 6.846 7.081 7.229 7.444
101-16 6.564 6.823 7.053 7.198 7.407
101-20 6.545 6.799 7.025 7.166 7.371
101-24 6.527 6.776 6.996 7.135 7.335
101-28 6.509 6.752 6.968 7.104 7.298
102-00 6.492 6.729 6.940 7.073 7.262
102-04 6.474 6.706 6.912 7.042 7.226
102-08 6.456 6.682 6.884 7.010 7.190
102-12 6.438 6.659 6.857 6.979 7.154
102-16 6.420 6.636 6.829 6.948 7.119
102-20 6.402 6.612 6.801 6.918 7.083
102-24 6.384 6.589 6.773 6.887 7.047
102-28 6.367 6.566 6.746 6.856 7.012
103-00 6.349 6.543 6.718 6.825 6.976
103-04 6.331 6.520 6.690 6.794 6.941
103-08 6.313 6.497 6.663 6.764 6.906
103-12 6.296 6.474 6.635 6.733 6.870
First Payment 8.806 2.806 1.472 0.806 0.056
Average Life 9.416 6.854 5.635 5.061 4.431
Last Payment 9.806 9.472 9.389 9.389 9.056
Mod.Dur. @ 101-16 6.789 5.210 4.349 3.903 3.371
Accrued Interest 0.448 0.448 0.448 0.448 0.448
Treas to Avg Life 5.367 5.318 5.295 5.284 5.260
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND A-2 AAA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
17
PSSFC 99-NRF1
SCENARIO 3: PREPAYMENT BEGINS AFTER LOCKOUT PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $51,720,000.00 DATED DATE: 03/01/99
COUPON: 6.824% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $51,720,000.00 BOND B BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.00% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
99-16 6.956 6.959 6.958 6.957 6.957 BOND B
99-20 6.938 6.941 6.939 6.938 6.938
99-24 6.919 6.922 6.921 6.920 6.919 $51,720,000.00
99-28 6.901 6.904 6.902 6.901 6.901
100-00 6.884 6.886 6.884 6.883 6.882
100-04 6.866 6.867 6.865 6.864 6.863
100-08 6.848 6.849 6.847 6.846 6.844
100-12 6.830 6.831 6.829 6.828 6.825
100-16 6.812 6.813 6.810 6.809 6.807
100-20 6.794 6.795 6.792 6.791 6.788
100-24 6.776 6.777 6.774 6.773 6.769
100-28 6.758 6.758 6.756 6.754 6.751
101-00 6.741 6.740 6.737 6.736 6.732
101-04 6.723 6.722 6.719 6.718 6.713
101-08 6.705 6.704 6.701 6.700 6.695
101-12 6.688 6.686 6.683 6.681 6.676
101-16 6.670 6.668 6.665 6.663 6.658
101-20 6.652 6.651 6.647 6.645 6.639
101-24 6.635 6.633 6.629 6.627 6.621
101-28 6.617 6.615 6.611 6.609 6.603
102-00 6.600 6.597 6.593 6.591 6.584
102-04 6.582 6.579 6.575 6.573 6.566
102-08 6.565 6.561 6.557 6.555 6.548
102-12 6.547 6.544 6.539 6.537 6.529
102-16 6.530 6.526 6.521 6.519 6.511
102-20 6.513 6.508 6.503 6.501 6.493
102-24 6.495 6.491 6.486 6.484 6.475
102-28 6.478 6.473 6.468 6.466 6.457
103-00 6.460 6.455 6.450 6.448 6.438
103-04 6.443 6.438 6.432 6.430 6.420
103-08 6.426 6.420 6.415 6.412 6.402
103-12 6.409 6.403 6.397 6.395 6.384
First Payment 9.806 9.472 9.389 9.389 9.056
Average Life 9.806 9.570 9.470 9.432 9.183
Last Payment 9.806 9.639 9.556 9.472 9.306
Mod.Dur. @ 101-16 6.957 6.838 6.787 6.767 6.639
Accrued Interest 0.455 0.455 0.455 0.455 0.455
Treas to Avg Life 5.374 5.370 5.368 5.367 5.362
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND B AA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
18
PSSFC 99-NRF1
SCENARIO 3: PREPAYMENT BEGINS AFTER LOCKOUT PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $47,018,000.00 DATED DATE: 03/01/99
COUPON: 6.972% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $47,018,000.00 BOND C BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.00% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
99-16 7.107 7.110 7.109 7.108 7.108 BOND C
99-20 7.089 7.091 7.091 7.090 7.090
99-24 7.071 7.073 7.072 7.071 7.071 $47,018,000.00
99-28 7.053 7.055 7.054 7.053 7.052
100-00 7.035 7.037 7.036 7.034 7.033
100-04 7.017 7.019 7.017 7.016 7.015
100-08 6.999 7.000 6.999 6.998 6.996
100-12 6.981 6.982 6.981 6.980 6.978
100-16 6.963 6.964 6.963 6.961 6.959
100-20 6.945 6.946 6.945 6.943 6.941
100-24 6.927 6.928 6.926 6.925 6.922
100-28 6.909 6.910 6.908 6.907 6.904
101-00 6.892 6.892 6.890 6.889 6.885
101-04 6.874 6.874 6.872 6.871 6.867
101-08 6.856 6.856 6.854 6.852 6.848
101-12 6.838 6.838 6.836 6.834 6.830
101-16 6.821 6.821 6.818 6.816 6.812
101-20 6.803 6.803 6.800 6.798 6.793
101-24 6.785 6.785 6.782 6.780 6.775
101-28 6.768 6.767 6.765 6.763 6.757
102-00 6.750 6.749 6.747 6.745 6.739
102-04 6.732 6.732 6.729 6.727 6.721
102-08 6.715 6.714 6.711 6.709 6.702
102-12 6.697 6.696 6.693 6.691 6.684
102-16 6.680 6.679 6.676 6.673 6.666
102-20 6.662 6.661 6.658 6.656 6.648
102-24 6.645 6.644 6.640 6.638 6.630
102-28 6.628 6.626 6.623 6.620 6.612
103-00 6.610 6.609 6.605 6.602 6.594
103-04 6.593 6.591 6.587 6.585 6.576
103-08 6.576 6.574 6.570 6.567 6.558
103-12 6.558 6.556 6.552 6.550 6.540
First Payment 9.806 9.639 9.556 9.472 9.306
Average Life 9.852 9.730 9.659 9.610 9.383
Last Payment 9.889 9.806 9.722 9.722 9.472
Mod.Dur. @ 101-16 6.931 6.871 6.836 6.811 6.697
Accrued Interest 0.465 0.465 0.465 0.465 0.465
Treas to Avg Life 5.375 5.373 5.371 5.370 5.366
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND C A CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
19
PSSFC 99-NRF1
SCENARIO 3: PREPAYMENT BEGINS AFTER LOCKOUT PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $47,018,000.00 DATED DATE: 03/01/99
COUPON: 7.435% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $47,018,000.00 BOND D BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.00% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
96-00 8.022 8.127 8.163 8.179 8.206 BOND D
96-04 8.004 8.107 8.143 8.160 8.186
96-08 7.985 8.088 8.124 8.140 8.166 $47,018,000.00
96-12 7.967 8.068 8.104 8.121 8.146
96-16 7.948 8.049 8.085 8.101 8.126
96-20 7.930 8.030 8.066 8.082 8.107
96-24 7.912 8.010 8.046 8.063 8.087
96-28 7.893 7.991 8.027 8.043 8.067
97-00 7.875 7.972 8.008 8.024 8.047
97-04 7.857 7.953 7.988 8.005 8.028
97-08 7.839 7.933 7.969 7.985 8.008
97-12 7.820 7.914 7.950 7.966 7.989
97-16 7.802 7.895 7.931 7.947 7.969
97-20 7.784 7.876 7.912 7.928 7.950
97-24 7.766 7.857 7.893 7.909 7.930
97-28 7.748 7.838 7.874 7.890 7.911
98-00 7.730 7.819 7.855 7.871 7.891
98-04 7.712 7.800 7.836 7.851 7.872
98-08 7.694 7.781 7.817 7.832 7.852
98-12 7.676 7.762 7.798 7.814 7.833
98-16 7.658 7.744 7.779 7.795 7.814
98-20 7.640 7.725 7.760 7.776 7.795
98-24 7.622 7.706 7.741 7.757 7.775
98-28 7.604 7.687 7.722 7.738 7.756
99-00 7.587 7.668 7.704 7.719 7.737
99-04 7.569 7.650 7.685 7.700 7.718
99-08 7.551 7.631 7.666 7.682 7.699
99-12 7.533 7.612 7.648 7.663 7.680
99-16 7.516 7.594 7.629 7.644 7.661
99-20 7.498 7.575 7.610 7.626 7.642
99-24 7.480 7.557 7.592 7.607 7.623
99-28 7.463 7.538 7.573 7.588 7.604
First Payment 9.889 9.806 9.722 9.722 9.472
Average Life 10.531 9.806 9.801 9.775 9.532
Last Payment 10.639 9.806 9.806 9.806 9.639
Mod.Dur. @ 98-00 7.036 6.693 6.680 6.662 6.540
Accrued Interest 0.496 0.496 0.496 0.496 0.496
Treas to Avg Life 5.386 5.374 5.374 5.373 5.369
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND D BBB CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
20
PSSFC 99-NRF1
SCENARIO 3: PREPAYMENT BEGINS AFTER LOCKOUT PERIODS
<TABLE>
<CAPTION>
CURRENT BALANCE: $14,106,000.00 DATED DATE: 03/01/99
COUPON: 7.435% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $14,106,000.00 BOND E BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.00% 25.00% 50.00% 75.00% 100.00% ORIGINAL
PRICE CPR CPR CPR CPR CPR CLASS SUMMARY
<S> <C> <C> <C> <C> <C> <C>
89-00 9.103 9.273 9.311 9.328 9.367 BOND E
89-04 9.083 9.251 9.289 9.307 9.346
89-08 9.062 9.230 9.268 9.285 9.324 $14,106,000.00
89-12 9.042 9.208 9.246 9.264 9.302
89-16 9.022 9.187 9.225 9.242 9.280
89-20 9.002 9.166 9.203 9.221 9.259
89-24 8.982 9.144 9.182 9.200 9.237
89-28 8.961 9.123 9.161 9.178 9.215
90-00 8.941 9.102 9.140 9.157 9.194
90-04 8.921 9.081 9.118 9.136 9.172
90-08 8.901 9.060 9.097 9.115 9.151
90-12 8.881 9.038 9.076 9.093 9.129
90-16 8.861 9.017 9.055 9.072 9.108
90-20 8.842 8.996 9.034 9.051 9.087
90-24 8.822 8.975 9.013 9.030 9.065
90-28 8.802 8.954 8.992 9.009 9.044
91-00 8.782 8.933 8.971 8.988 9.023
91-04 8.762 8.913 8.950 8.967 9.002
91-08 8.743 8.892 8.929 8.946 8.980
91-12 8.723 8.871 8.908 8.925 8.959
91-16 8.703 8.850 8.887 8.905 8.938
91-20 8.684 8.829 8.867 8.884 8.917
91-24 8.664 8.809 8.846 8.863 8.896
91-28 8.645 8.788 8.825 8.842 8.875
92-00 8.625 8.768 8.805 8.822 8.854
92-04 8.606 8.747 8.784 8.801 8.833
92-08 8.586 8.726 8.763 8.780 8.812
92-12 8.567 8.706 8.743 8.760 8.792
92-16 8.547 8.685 8.722 8.739 8.771
92-20 8.528 8.665 8.702 8.719 8.750
92-24 8.509 8.645 8.681 8.698 8.729
92-28 8.490 8.624 8.661 8.678 8.709
First Payment 10.639 9.806 9.806 9.806 9.639
Average Life 10.639 9.809 9.806 9.806 9.639
Last Payment 10.639 9.889 9.806 9.806 9.639
Mod.Dur. @ 91-00 6.912 6.539 6.526 6.519 6.437
Accrued Interest 0.496 0.496 0.496 0.496 0.496
Treas to Avg Life 5.387 5.374 5.374 5.374 5.371
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND E BBB- CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
21
PSSFC 99-NRF1
SCENARIO 4A: 2% CDR STARTING IN MONTH 25, 25% SEVERITY, 12 MONTH LAG TO RECOVERY
<TABLE>
<CAPTION>
CURRENT BALANCE: $190,500,000.00 DATED DATE: 03/01/99
COUPON: 6.374% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $190,500,000.00 BOND A-1 BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% ORIGINAL
PRICE CPR CLASS SUMMARY
<S> <C> <C>
98-16 6.788 BOND A-1
98-20 6.755
98-24 6.722 $190,500,000.00
98-28 6.689
99-00 6.656
99-04 6.623
99-08 6.590
99-12 6.558
99-16 6.525
99-20 6.492
99-24 6.460
99-28 6.427
100-00 6.395
100-04 6.362
100-08 6.330
100-12 6.298
100-16 6.265
100-20 6.233
100-24 6.201
100-28 6.169
101-00 6.137
101-04 6.105
101-08 6.073
101-12 6.041
101-16 6.009
101-20 5.978
101-24 5.946
101-28 5.914
102-00 5.883
102-04 5.851
102-08 5.820
102-12 5.788
First Payment 0.056
Average Life 4.674
Last Payment 7.306
Mod.Dur. @ 100-16 3.844
Accrued Interest 0.425
Treas to Avg Life 5.270
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
22
PSSFC 99-NRF1
SCENARIO 4A: 2% CDR STARTING IN MONTH 25, 25% SEVERITY, 12 MONTH LAG TO RECOVERY
<TABLE>
<CAPTION>
CURRENT BALANCE: $486,554,000.00 DATED DATE: 03/01/99
COUPON: 6.726% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $486,554,000.00 BOND A-2 BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% ORIGINAL
PRICE CPR CLASS SUMMARY
<S> <C> <C>
99-16 6.857 BOND A-2
99-20 6.838
99-24 6.819 $486,554,000.00
99-28 6.800
100-00 6.782
100-04 6.763
100-08 6.745
100-12 6.726
100-16 6.708
100-20 6.689
100-24 6.671
100-28 6.652
101-00 6.634
101-04 6.615
101-08 6.597
101-12 6.579
101-16 6.560
101-20 6.542
101-24 6.524
101-28 6.506
102-00 6.487
102-04 6.469
102-08 6.451
102-12 6.433
102-16 6.415
102-20 6.397
102-24 6.379
102-28 6.361
103-00 6.343
103-04 6.325
103-08 6.307
103-12 6.289
First Payment 7.306
Average Life 9.261
Last Payment 9.806
Mod.Dur. @ 101-16 6.705
Accrued Interest 0.448
Treas to Avg Life 5.364
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND A-2 AAA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
23
PSSFC 99-NRF1
SCENARIO 4A: 2% CDR STARTING IN MONTH 25, 25% SEVERITY, 12 MONTH LAG TO RECOVERY
<TABLE>
<CAPTION>
CURRENT BALANCE: $51,720,000.00 DATED DATE: 03/01/99
COUPON: 6.824% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $51,720,000.00 BOND B BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% ORIGINAL
PRICE CPR CLASS SUMMARY
<S> <C> <C>
99-16 6.956 BOND B
99-20 6.938
99-24 6.919 $51,720,000.00
99-28 6.901
100-00 6.884
100-04 6.866
100-08 6.848
100-12 6.830
100-16 6.812
100-20 6.794
100-24 6.776
100-28 6.758
101-00 6.741
101-04 6.723
101-08 6.705
101-12 6.688
101-16 6.670
101-20 6.652
101-24 6.635
101-28 6.617
102-00 6.600
102-04 6.582
102-08 6.565
102-12 6.547
102-16 6.530
102-20 6.513
102-24 6.495
102-28 6.478
103-00 6.460
103-04 6.443
103-08 6.426
103-12 6.409
First Payment 9.806
Average Life 9.806
Last Payment 9.806
Mod.Dur. @ 101-16 6.957
Accrued Interest 0.455
Treas to Avg Life 5.374
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND B AA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
24
PSSFC 99-NRF1
SCENARIO 4A: 2% CDR STARTING IN MONTH 25, 25% SEVERITY, 12 MONTH LAG TO RECOVERY
<TABLE>
<CAPTION>
CURRENT BALANCE: $47,018,000.00 DATED DATE: 03/01/99
COUPON: 6.972% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $47,018,000.00 BOND C BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% ORIGINAL
PRICE CPR CLASS SUMMARY
<S> <C> <C>
99-16 7.107 BOND C
99-20 7.089
99-24 7.071 $47,018,000.00
99-28 7.053
100-00 7.035
100-04 7.017
100-08 6.999
100-12 6.981
100-16 6.963
100-20 6.945
100-24 6.927
100-28 6.909
101-00 6.892
101-04 6.874
101-08 6.856
101-12 6.838
101-16 6.821
101-20 6.803
101-24 6.785
101-28 6.768
102-00 6.750
102-04 6.733
102-08 6.715
102-12 6.698
102-16 6.680
102-20 6.663
102-24 6.645
102-28 6.628
103-00 6.610
103-04 6.593
103-08 6.576
103-12 6.559
First Payment 9.806
Average Life 9.857
Last Payment 10.056
Mod.Dur. @ 101-16 6.934
Accrued Interest 0.465
Treas to Avg Life 5.375
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND C A CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
25
PSSFC 99-NRF1
SCENARIO 4A: 2% CDR STARTING IN MONTH 25, 25% SEVERITY, 12 MONTH LAG TO RECOVERY
<TABLE>
<CAPTION>
CURRENT BALANCE: $47,018,000.00 DATED DATE: 03/01/99
COUPON: 7.435% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $47,018,000.00 BOND D BE-YIELD TABLE YIELD TABLE DATE: 03/25/99 PREPAYMENT SPEED
PRICING SPEED
0.0% ORIGINAL
PRICE CPR CLASS SUMMARY
<S> <C> <C>
96-00 8.020 BOND D
96-04 8.002
96-08 7.983 $47,018,000.00
96-12 7.965
96-16 7.946
96-20 7.928
96-24 7.910
96-28 7.892
97-00 7.873
97-04 7.855
97-08 7.837
97-12 7.819
97-16 7.801
97-20 7.783
97-24 7.765
97-28 7.747
98-00 7.729
98-04 7.711
98-08 7.693
98-12 7.675
98-16 7.657
98-20 7.640
98-24 7.622
98-28 7.604
99-00 7.586
99-04 7.569
99-08 7.551
99-12 7.533
99-16 7.516
99-20 7.498
99-24 7.481
99-28 7.463
First Payment 10.056
Average Life 10.612
Last Payment 10.639
Mod.Dur. @ 98-00 7.073
Accrued Interest 0.496
Treas to Avg Life 5.387
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND D BBB CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
26
PSSFC 99-NRF1
SCENARIO 4A: 2% CDR STARTING IN MONTH 25, 25% SEVERITY, 12 MONTH LAG TO RECOVERY
<TABLE>
<CAPTION>
CURRENT BALANCE: $14,106,000.00 DATED DATE: 03/01/99
COUPON: 7.435% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $14,106,000.00 BOND E BE-YIELD TABLE YIELD TABLE DATE: 03/25/99 PREPAYMENT SPEED
PRICING SPEED
0.0% ORIGINAL
PRICE CPR CLASS SUMMARY
<S> <C> <C>
89-00 9.089 BOND E
89-04 9.069
89-08 9.049 $14,106,000.00
89-12 9.029
89-16 9.009
89-20 8.989
89-24 8.969
89-28 8.949
90-00 8.929
90-04 8.909
90-08 8.889
90-12 8.869
90-16 8.850
90-20 8.830
90-24 8.810
90-28 8.790
91-00 8.771
91-04 8.751
91-08 8.732
91-12 8.712
91-16 8.693
91-20 8.673
91-24 8.654
91-28 8.634
92-00 8.615
92-04 8.596
92-08 8.576
92-12 8.557
92-16 8.538
92-20 8.519
92-24 8.500
92-28 8.481
First Payment 10.639
Average Life 10.768
Last Payment 11.306
Mod.Dur. @ 91-00 6.965
Accrued Interest 0.496
Treas to Avg Life 5.389
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND E BBB- CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
27
PSSFC 99-NRF1
SCENARIO 4B: 4% CDR STARTING IN MONTH 25, 25% SEVERITY, 12 MONTH LAG TO RECOVERY
<TABLE>
<CAPTION>
CURRENT BALANCE: $190,500,000.00 DATED DATE: 03/01/99
COUPON: 6.374% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $190,500,000.00 BOND A-1 BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% ORIGINAL
PRICE CPR CLASS SUMMARY
<S> <C> <C>
98-16 6.817 BOND A-1
98-20 6.781
98-24 6.745 $190,500,000.00
98-28 6.709
99-00 6.673
99-04 6.638
99-08 6.602
99-12 6.566
99-16 6.531
99-20 6.495
99-24 6.460
99-28 6.424
100-00 6.389
100-04 6.354
100-08 6.319
100-12 6.284
100-16 6.248
100-20 6.213
100-24 6.179
100-28 6.144
101-00 6.109
101-04 6.074
101-08 6.039
101-12 6.005
101-16 5.970
101-20 5.936
101-24 5.901
101-28 5.867
102-00 5.832
102-04 5.798
102-08 5.764
102-12 5.730
First Payment 0.056
Average Life 4.225
Last Payment 6.472
Mod.Dur. @ 100-16 3.536
Accrued Interest 0.425
Treas to Avg Life 5.252
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND A-1 AAA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
28
PSSFC 99-NRF1
SCENARIO 4B: 4% CDR STARTING IN MONTH 25, 25% SEVERITY, 12 MONTH LAG TO RECOVERY
<TABLE>
<CAPTION>
CURRENT BALANCE: $486,554,000.00 DATED DATE: 03/01/99
COUPON: 6.726% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $486,554,000.00 BOND A-2 BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% ORIGINAL
PRICE CPR CLASS SUMMARY
<S> <C> <C>
99-16 6.857 BOND A-2
99-20 6.838
99-24 6.819 $486,554,000.00
99-28 6.800
100-00 6.781
100-04 6.762
100-08 6.743
100-12 6.724
100-16 6.705
100-20 6.686
100-24 6.667
100-28 6.648
101-00 6.629
101-04 6.611
101-08 6.592
101-12 6.573
101-16 6.554
101-20 6.536
101-24 6.517
101-28 6.498
102-00 6.480
102-04 6.461
102-08 6.443
102-12 6.424
102-16 6.406
102-20 6.387
102-24 6.369
102-28 6.350
103-00 6.332
103-04 6.314
103-08 6.295
103-12 6.277
First Payment 6.472
Average Life 8.997
Last Payment 9.806
Mod.Dur. @ 101-16 6.557
Accrued Interest 0.448
Treas to Avg Life 5.359
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND A-2 AAA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
29
PSSFC 99-NRF1
SCENARIO 4B: 4% CDR STARTING IN MONTH 25, 25% SEVERITY, 12 MONTH LAG TO RECOVERY
<TABLE>
<CAPTION>
CURRENT BALANCE: $51,720,000.00 DATED DATE: 03/01/99
COUPON: 6.824% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $51,720,000.00 BOND B BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% ORIGINAL
PRICE CPR CLASS SUMMARY
<S> <C> <C>
99-16 6.956 BOND B
99-20 6.938
99-24 6.919 $51,720,000.00
99-28 6.901
100-00 6.884
100-04 6.866
100-08 6.848
100-12 6.830
100-16 6.812
100-20 6.794
100-24 6.776
100-28 6.758
101-00 6.741
101-04 6.723
101-08 6.705
101-12 6.688
101-16 6.670
101-20 6.652
101-24 6.635
101-28 6.617
102-00 6.600
102-04 6.582
102-08 6.565
102-12 6.547
102-16 6.530
102-20 6.513
102-24 6.495
102-28 6.478
103-00 6.460
103-04 6.443
103-08 6.426
103-12 6.409
First Payment 9.806
Average Life 9.806
Last Payment 9.806
Mod.Dur. @ 101-16 6.957
Accrued Interest 0.455
Treas to Avg Life 5.374
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND B AA CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
30
PSSFC 99-NRF1
SCENARIO 4B: 4% CDR STARTING IN MONTH 25, 25% SEVERITY, 12 MONTH LAG TO RECOVERY
<TABLE>
<CAPTION>
CURRENT BALANCE: $47,018,000.00 DATED DATE: 03/01/99
COUPON: 6.972% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $47,018,000.00 BOND C BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% ORIGINAL
PRICE CPR CLASS SUMMARY
<S> <C> <C>
99-16 7.107 BOND C
99-20 7.089
99-24 7.071 $47,018,000.00
99-28 7.053
100-00 7.035
100-04 7.017
100-08 6.999
100-12 6.981
100-16 6.963
100-20 6.946
100-24 6.928
100-28 6.910
101-00 6.892
101-04 6.875
101-08 6.857
101-12 6.839
101-16 6.822
101-20 6.804
101-24 6.786
101-28 6.769
102-00 6.751
102-04 6.734
102-08 6.716
102-12 6.699
102-16 6.682
102-20 6.664
102-24 6.647
102-28 6.630
103-00 6.612
103-04 6.595
103-08 6.578
103-12 6.560
First Payment 9.806
Average Life 9.912
Last Payment 10.639
Mod.Dur. @ 101-16 6.960
Accrued Interest 0.465
Treas to Avg Life 5.376
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND C A CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
31
PSSFC 99-NRF1
SCENARIO 4B: 4% CDR STARTING IN MONTH 25, 25% SEVERITY, 12 MONTH LAG TO RECOVERY
<TABLE>
<CAPTION>
CURRENT BALANCE: $47,018,000.00 DATED DATE: 03/01/99
COUPON: 7.435% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $47,018,000.00 BOND D BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% ORIGINAL
PRICE CPR CLASS SUMMARY
<S> <C> <C>
96-00 8.019 BOND D
96-04 8.000
96-08 7.982 $47,018,000.00
96-12 7.964
96-16 7.945
96-20 7.927
96-24 7.909
96-28 7.891
97-00 7.873
97-04 7.854
97-08 7.836
97-12 7.818
97-16 7.800
97-20 7.782
97-24 7.764
97-28 7.746
98-00 7.728
98-04 7.711
98-08 7.693
98-12 7.675
98-16 7.657
98-20 7.639
98-24 7.622
98-28 7.604
99-00 7.586
99-04 7.569
99-08 7.551
99-12 7.533
99-16 7.516
99-20 7.498
99-24 7.481
99-28 7.463
First Payment 10.639
Average Life 10.651
Last Payment 11.056
Mod.Dur. @ 98-00 7.090
Accrued Interest 0.496
Treas to Avg Life 5.387
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND D BBB CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
<PAGE>
32
PSSFC 99-NRF1
SCENARIO 4B: 4% CDR STARTING IN MONTH 25, 25% SEVERITY, 12 MONTH LAG TO RECOVERY
<TABLE>
<CAPTION>
CURRENT BALANCE: $14,106,000.00 DATED DATE: 03/01/99
COUPON: 7.435% FIRST PAYMENT: 04/15/99
FACTOR: 1.0000000000 TOTAL CLASSES: 46
ORIGINAL BALANCE: $14,106,000.00 BOND E BE-YIELD TABLE YIELD TABLE DATE: 03/25/99
PREPAYMENT SPEED
PRICING SPEED
0.0% ORIGINAL
PRICE CPR CLASS SUMMARY
<S> <C> <C>
89-00 9.023 BOND E
89-04 9.004
89-08 8.984 $14,106,000.00
89-12 8.965
89-16 8.946
89-20 8.926
89-24 8.907
89-28 8.888
90-00 8.869
90-04 8.850
90-08 8.830
90-12 8.811
90-16 8.792
90-20 8.773
90-24 8.754
90-28 8.735
91-00 8.716
91-04 8.698
91-08 8.679
91-12 8.660
91-16 8.641
91-20 8.622
91-24 8.604
91-28 8.585
92-00 8.566
92-04 8.548
92-08 8.529
92-12 8.511
92-16 8.492
92-20 8.474
92-24 8.455
92-28 8.437
First Payment 11.056
Average Life 11.430
Last Payment 11.556
Mod.Dur. @ 91-00 7.231
Accrued Interest 0.496
Treas to Avg Life 5.399
</TABLE>
The preliminary pricing information contained herein is neither an offer to sell
nor a solicitation to buy any securities. Moreover, there is no assurance that
such information will not change prior to final pricing. Any formal offer or
solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
BOND E BBB- CLASS
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN ANY SUBSEQUENT STRUCTURAL
TERMSHEETS OR IN THE FINAL PROSPECTUS SUPPLEMENT. THIS PAGE MUST BE ACCOMPANIED
BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR
PRUDENTIAL SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY. THE SECURITIES
DESCRIBED HEREIN ARE OFFERED ONLY PURSUANT TO A DEFINITIVE FINAL PROSPECTUS
SUPPLEMENT AND PROSPECTIVE INVESTORS WHO CONSIDER PURCHASING ANY SUCH SECURITIES
SHOULD MAKE THEIR INVESTMENT DECISION BASED ONLY UPON THE INFORMATION PROVIDED
THEREIN. CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN HAVE THE MEANINGS GIVEN
TO SUCH TERMS IN THE FINAL PROSPECTUS SUPPLEMENT.
PRUDENTIAL SECURITIES CIBC OPPENHEIMER CORP. MORGAN STANLEY DEAN WITTER
- --------------------------------------------------------------------------------
