SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report: May 7, 1999
(Date of earliest event reported)
Commission File No. 333-62671
FIRST UNION COMMERCIAL MORTGAGE SECURITIES, INC.
------------------------------------------------
North Carolina 56-1643598
- -----------------------------------------------------------------------------
(State of Incorporation) (I.R.S. Employer Identification No.)
One First Union Center
Charlotte, North Carolina 28228-0600
- -----------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
(704) 374-6161
- -----------------------------------------------------------------------------
(Registrant's Telephone Number, including area code)
- ----------------------------------------------------------------------------
(Former name, former address and former fiscal year, if changed since last
report)
<PAGE>
ITEM 5. Other Events
------------
Attached as exhibits are certain Structural Term Sheets, Collateral
Term Sheets and Computational Materials (as defined in the no-action letter
dated May 20, 1994 issued by the staff of the Securities and Exchange
Commission (the "Commission") to Kidder, Peabody Acceptance Corporation I,
Kidder, Peabody & Co. Incorporated and Kidder Structured Asset Corporation, as
modified by a no-action letter issued by the staff of the Commission on May
27, 1994 to the Public Securities Association (the "PSA") and as further
modified by a no-action letter issued by the staff of the Commission on March
9, 1995 to the PSA) furnished to the Registrant by Chase Securities Inc.
("CSI"), First Union Capital Markets Corp. ("First Union") and J.P. Morgan
Securities Inc. (together with CSI and First Union, the "Underwriters") in
respect of the Registrant's proposed offering of Commercial Mortgage
Pass-Through Certificates, Series 1999-C2 (the "Certificates").
The Certificates will be offered pursuant to a Prospectus and
related Prospectus Supplement (together, the "Prospectus"), which will be
filed with the Commission pursuant to Rule 424 under the Securities Act of
1933, as amended (the "Act"). The Certificates will be registered pursuant to
the Act under the Registrant's Registration Statement on Form S-3 (No.
333-62671) (the "Registration Statement"). The Registrant hereby incorporates
the Structural Term Sheets, Collateral Term Sheets and Computational Materials
by reference in the Registration Statement.
The Structural Term Sheets, Collateral Term Sheets and Computation
Materials were prepared solely by the Underwriters, and the Registrant did not
prepare or participate in the preparation of the Structural Term Sheets,
Collateral Term Sheets and Computational Materials.
Any statement or information contained in the Structural Term
Sheets, Collateral Term Sheets and Computational Materials shall be deemed to
be modified or superseded for purposes of the Prospectus and the Registration
Statement by statements or information contained in the Prospectus.
<PAGE>
ITEM 7. Financial Statements, Pro Forma Financial Information and Exhibits
------------------------------------------------------------------
(c) Exhibits
Item 601(a)
of Regulation S-K
Exhibit No. Description
- ----------- -----------
(99) Structural Term Sheets, Collateral
Term Sheets and Computational
Materials prepared by the
Underwriters in connection with
First Union National Bank - Chase
Manhattan Bank Commercial
Mortgage Trust Commercial
Mortgage Pass-Through
Certificates Series 1999-C2.
<PAGE>
SIGNATURES
Filings Made by the Registrant. The registrant has duly caused this
form to be signed on its behalf by the undersigned, thereunto duly authorized,
in the City of Charlotte, State of North Carolina, on May 10, 1999.
FIRST UNION COMMERCIAL
MORTGAGE SECURITIES, INC.
By: /s/ Craig Lieberman
--------------------------
Name: Craig Lieberman
Title: Vice President
<PAGE>
INDEX TO EXHIBITS
-----------------
Paper (P) or
Exhibit No. Description Electronic (E)
(99) Structural Term Sheets, E
Collateral Term Sheets and
Computational Materials
prepared by the Underwriters in
connection with First Union
National Bank - Chase
Manhattan Bank Commercial
Mortgage Trust Commercial
Mortgage Pass-Through
Certificates Series 1999-C2.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<TABLE>
<CAPTION>
CONTROL
NUMBER PROPERTY NAME ADDRESS CITY
- ---------------------------------------------------------------------------------------------------------------------------
1 Sheraton Suites Portfolio Various Various
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
4 Wynfrey Hotel at Riverchase Galleria 1000 Riverchase Galleria Hoover
11 Alexis Hotel 1007 First Avenue Seattle
20 Sheraton Hotel - Charleston, SC 170 Lockwood Drive Charleston
39 Hampton Inn Maingate 3104 Parkway Blvd. Kissimmee
54 Motel 6 1115 Raleigh 1401 Buck Jones Road Raleigh
- ---------------------------------------------------------------------------------------------------------------------------
56 Residence Inn - Tampa 13420 Telecom Parkway Tampa
57 Comfort Suites - Gastonia 1874 Remount Road Gastonia
63 Residence Inn - Sarasota 1040 University Parkway Sarasota
74 Comfort Inn Alexandria 6254 Duke Street Alexandria
76 Residence Inn/Knoxville 215 Langley Place Knoxville
- ---------------------------------------------------------------------------------------------------------------------------
87 Motel 6 1129 Hilton Head 830 William Hilton Parkway Hilton Head
89 Days Inn - Alexandria 110 S. Bragg Street Alexandria
95 Motel 6 1081 Little Rock (W) 10524 W. Markham Street Little Rock
101 Ramada Plaza West 435 Smokey Park Highway Asheville
109 Motel 6 740 Reno Sparks 2405 Victorian Avenue Sparks
- ---------------------------------------------------------------------------------------------------------------------------
111 Motel 6 608 Mobile 5488 Inn Road Mobile
123 Days Inn Fredericksburg South 5316 Jefferson Davis Highway Fredericksburg
126 Best Western Governors Inn 9826 Midlothian Tnpk Richmond
130 Fairfield Inn - Mobile 950 A South Beltline Highway Mobile
142 Days Inn Shreveport 4935 W. Monkhouse Drive Shreveport
- ---------------------------------------------------------------------------------------------------------------------------
150 Days Inn - Charlotte 1408 West Sugar Creek Road Charlotte
171 Super 8 Motel 8 Croswell Road Asheville
182 Days Inn Mt.Sterling 705 Maysville Road Mount Sterling
218 Motel 6 202 Lumberton 2361 Lackey Road Lumberton
</TABLE>
(Table continued)
<TABLE>
<CAPTION>
CONTROL CROSS-COLLATERALIZED AND CONTROL
NUMBER STATE ZIP CODE CROSS-DEFAULTED GROUPS
- -----------------------------------------------------------------------------------------------
1 Multiple Various
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
4 AL 35244
11 WA 98104
20 SC 29403
39 FL 34747
54 NC 27606
- ------------------------------------------------------------------------------------------
56 FL 33617
57 NC 28054
63 FL 34234
74 VA 22312 BMI
76 TN 37922
- ------------------------------------------------------------------------------------------
87 SC 29928
89 VA 22312 BMI
95 AR 72205
101 NC 28806
109 NV 89431
- ------------------------------------------------------------------------------------------
111 AL 36619
123 VA 22312 BMI
126 VA 23235
130 AL 36609
142 LA 71109 BMI
- ------------------------------------------------------------------------------------------
150 NC 28213 BMI
171 NC 28806
182 KY 40353 BMI
218 NC 28358
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
CUMULATIVE % OF
CONTROL CUT-OFF DATE BALANCE % OF AGGREGATE AGGREGATE CUT-OFF
NUMBER ORIGINAL BALANCE ($) ($) CUT-OFF DATE BALANCE DATE BALANCE MORTGAGE RATE (%)
- --------------------------------------------------------------------------------------------------------------------------
1 50,850,000 50,443,313 4.27% 4.27% 6.7500%
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
4 25,600,000 25,263,571 2.14% 12.10% 7.4000%
11 18,944,554 18,779,010 1.59% 24.44% 7.2130%
20 13,000,000 12,939,276 1.10% 35.70% 8.5000%
39 8,175,000 8,115,184 0.69% 51.87% 7.0000%
54 6,509,982 6,235,064 0.53% 60.60% 7.2350%
- --------------------------------------------------------------------------------------------------------------------------
56 6,068,000 6,010,240 0.51% 61.64% 7.1000%
57 5,800,000 5,725,887 0.48% 62.12% 7.6250%
63 5,441,000 5,389,208 0.46% 64.94% 7.1000%
74 5,127,000 5,019,952 0.42% 69.75% 7.3750%
76 4,988,000 4,940,520 0.42% 70.59% 7.1000%
- --------------------------------------------------------------------------------------------------------------------------
87 4,418,896 4,232,286 0.36% 74.71% 7.2350%
89 4,200,000 4,112,307 0.35% 75.41% 7.3750%
95 4,221,624 4,043,344 0.34% 77.49% 7.2350%
101 3,675,000 3,599,706 0.30% 79.38% 7.8100%
109 3,304,309 3,164,767 0.27% 81.66% 7.2350%
- --------------------------------------------------------------------------------------------------------------------------
111 3,215,536 3,079,744 0.26% 82.19% 7.2350%
123 2,762,000 2,704,332 0.23% 85.12% 7.3750%
126 2,700,000 2,668,497 0.23% 85.80% 6.8750%
130 2,625,000 2,600,013 0.22% 86.69% 7.1000%
142 2,511,000 2,458,572 0.21% 89.26% 7.3750%
- --------------------------------------------------------------------------------------------------------------------------
150 2,310,000 2,261,769 0.19% 90.86% 7.3750%
171 1,800,000 1,767,561 0.15% 94.39% 8.1500%
182 1,540,000 1,507,846 0.13% 95.90% 7.3750%
218 1,084,997 1,039,177 0.09% 99.72% 7.2350%
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
CONTROL ADMINISTRATIVE COST INTEREST ACCRUAL ORIGINAL INTEREST
NUMBER RATE (%) METHOD AMORTIZATION TYPE (1) ONLY PERIOD (MOS.)
- ----------------------------------------------------------------------------------------------------
1 0.05225% Actual/360 Amortizing Balloon
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
4 0.08725% 30/360 Amortizing Balloon
11 0.08725% Actual/360 Amortizing Balloon
20 0.06225% Actual/360 Amortizing Balloon
39 0.08725% Actual/360 Amortizing Balloon
54 0.19725% 30/360 Amortizing Balloon
- ----------------------------------------------------------------------------------------------------
56 0.06225% Actual/360 Amortizing Balloon
57 0.06225% Actual/360 Amortizing Balloon
63 0.06225% Actual/360 Amortizing Balloon
74 0.06225% Actual/360 Fully Amortizing
76 0.06225% Actual/360 Amortizing Balloon
- ----------------------------------------------------------------------------------------------------
87 0.19725% 30/360 Amortizing Balloon
89 0.06225% Actual/360 Fully Amortizing
95 0.19725% 30/360 Amortizing Balloon
101 0.06225% Actual/360 Amortizing Balloon
109 0.19725% 30/360 Amortizing Balloon
- ----------------------------------------------------------------------------------------------------
111 0.19725% 30/360 Amortizing Balloon
123 0.06225% Actual/360 Fully Amortizing
126 0.06225% Actual/360 Amortizing Balloon
130 0.06225% Actual/360 Amortizing Balloon
142 0.06225% Actual/360 Fully Amortizing
- ----------------------------------------------------------------------------------------------------
150 0.06225% Actual/360 Fully Amortizing
171 0.06225% Actual/360 Amortizing Balloon
182 0.06225% Actual/360 Fully Amortizing
218 0.19725% 30/360 Amortizing Balloon
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
REMAINING ORIGINAL TERM REMAINING TERM ORIGINAL REMAINING
CONTROL INTEREST ONLY TO MATURITY TO MATURITY AMORTIZATION AMORTIZATION
NUMBER PERIOD (MOS.) (MOS.) (MOS.) TERM (MOS.) TERM (MOS.) ORIGINATION DATE
- ---------------------------------------------------------------------------------------------------------------------
1 120 114 300 294 10/19/98
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
4 120 109 300 289 05/21/98
11 117 110 300 293 10/08/98
20 120 115 300 295 11/03/98
39 120 114 300 294 10/15/98
54 216 205 270 259 05/29/98
- ---------------------------------------------------------------------------------------------------------------------
56 120 112 300 292 08/31/98
57 121 109 300 288 04/23/98
63 120 112 300 292 08/31/98
74 264 250 264 250 02/04/98
76 120 112 300 292 08/31/98
- ---------------------------------------------------------------------------------------------------------------------
87 216 205 270 259 05/29/98
89 264 250 264 250 02/04/98
95 216 205 270 259 05/29/98
101 120 108 240 228 04/08/98
109 216 205 270 259 05/29/98
- ---------------------------------------------------------------------------------------------------------------------
111 216 205 270 259 05/29/98
123 264 250 264 250 02/04/98
126 120 114 240 234 10/21/98
130 120 112 300 292 08/31/98
142 264 250 264 250 02/04/98
- ---------------------------------------------------------------------------------------------------------------------
150 264 250 264 250 02/04/98
171 120 109 240 229 05/19/98
182 264 250 264 250 02/04/98
218 216 205 270 259 05/29/98
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
CONTROL MATURITY OR ARD BALLOON BALANCE GENERAL SPECIFIC
NUMBER DATE ($) PROPERTY TYPE PROPERTY TYPE CTL FLAG
- ----------------------------------------------------------------------------------------------------
1 11/10/08 39,940,110 Hospitality Full Service
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
4 06/10/08 20,414,586 Hospitality Full Service
11 07/10/08 15,002,725 Hospitality Full Service
20 12/01/08 10,869,134 Hospitality Full Service
39 11/10/08 6,557,448 Hospitality Limited Service
54 06/01/16 2,059,732 Hospitality Limited Service CTL
- ----------------------------------------------------------------------------------------------------
56 09/01/08 4,869,070 Hospitality Limited Service
57 06/01/08 4,718,361 Hospitality Limited Service
63 09/01/08 4,365,954 Hospitality Limited Service
74 03/01/20 235,760 Hospitality Limited Service
76 09/01/08 4,002,459 Hospitality Limited Service
- ----------------------------------------------------------------------------------------------------
87 06/01/16 1,398,121 Hospitality Limited Service CTL
89 03/01/20 193,134 Hospitality Limited Service
95 06/01/16 1,335,705 Hospitality Limited Service CTL
101 05/01/08 2,576,175 Hospitality Full Service
109 06/01/16 1,045,470 Hospitality Limited Service CTL
- ----------------------------------------------------------------------------------------------------
111 06/01/16 1,017,383 Hospitality Limited Service CTL
123 03/01/20 127,009 Hospitality Limited Service
126 11/01/08 1,829,274 Hospitality Full Service
130 09/01/08 2,106,345 Hospitality Limited Service
142 03/01/20 115,470 Hospitality Limited Service
- ----------------------------------------------------------------------------------------------------
150 03/01/20 106,224 Hospitality Limited Service
171 06/01/08 1,276,426 Hospitality Limited Service
182 03/01/20 70,814 Hospitality Limited Service
218 06/01/16 343,289 Hospitality Limited Service CTL
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
CONTROL ANNUAL DEBT NET CASH APPRAISED VALUE
NUMBER PREPAYMENT PROVISIONS SERVICE ($) (2) FLOW ($) DSCR (X) ($)
- ---------------------------------------------------------------------------------------------------------------------
1 L(2.5),D(7.5) 4,253,580 6,606,834 1.55 76,200,000
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
4 L(3),YM1%(6.75),O(.25) 2,250,237 3,141,730 1.40 36,500,000
11 L(2.5),D(6.75),O(.5) 1,658,334 2,589,661 1.56 29,200,000
20 L(4),D(5.75),O(.25) 1,256,154 1,834,951 1.46 22,000,000
39 L(2.42),D(7.33),O(.25) 693,350 1,061,816 1.53 10,900,000
54 L(2),YM(16) Steps 513,033 1.00 6,600,000
- ---------------------------------------------------------------------------------------------------------------------
56 L(4),D(5.75),O(.25) 519,303 785,292 1.51 8,200,000
57 L(4),D(6.08) 520,010 737,048 1.42 7,900,000
63 L(4),D(5.75),O(.25) 465,644 658,851 1.41 7,300,000
74 L(5),D(10),1.5%(6),O(1) 471,694 824,663 1.75 7,540,000
76 L(4),D(5.75),O(.25) 426,876 596,805 1.40 6,775,000
- ---------------------------------------------------------------------------------------------------------------------
87 L(2),YM(16) Steps 348,241 1.00 4,480,000
89 L(5),D(10),1.5%(6),O(1) 386,409 948,066 2.45 8,920,000
95 L(2),YM(16) Steps 332,694 1.00 4,280,000
101 L(4),D(5.75),O(.25) 363,672 513,286 1.41 5,251,000
109 L(2),YM(16) Steps 259,075 1.00 3,350,000
- ---------------------------------------------------------------------------------------------------------------------
111 L(2),YM(16) Steps 252,408 1.00 3,260,000
123 L(5),D(10),1.5%(6),O(1) 254,110 298,817 1.18 2,700,000
126 L(5),D(4.75),O(.25) 248,772 408,868 1.64 4,100,000
130 L(4),D(5.75),O(.25) 224,649 317,872 1.41 3,600,000
142 L(5),D(10),1.5%(6),O(1) 231,017 347,175 1.50 3,790,000
- ---------------------------------------------------------------------------------------------------------------------
150 L(5),D(10),1.5%(6),O(1) 212,525 267,273 1.26 2,900,000
171 L(4),D(6) 182,693 255,502 1.40 2,600,000
182 L(5),D(10),1.5%(6),O(1) 141,683 211,468 1.49 2,300,000
218 L(2),YM(16) Steps 85,506 1.00 1,100,000
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
UNDERWRITTEN
SCHEDULED HOSPITALITY
MATURITY AVERAGE
CONTROL APPRAISAL CUTOFF DATE DATE LTV (%) DAILY RATE YEAR NO. OF
NUMBER DATE LTV (%) (3) ($) (5) YEAR BUILT RENOVATED (UNITS) UNIT OF MEASURE
- -----------------------------------------------------------------------------------------------------------------------------------
1 09/01/98 66.2% 52.4% 117.44 1990 732 Rooms
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
4 01/01/98 69.2% 55.9% 113.44 1986 1997 329 Rooms
11 03/01/98 64.3% 51.4% 174.02 1901 1996 109 Rooms
20 08/25/98 58.8% 49.4% 75.00 1980 1998 333 Rooms
39 06/11/98 74.5% 60.2% 61.83 1990 164 Rooms
54 03/24/98 94.5% 31.2% 1971 54,293 Sq. Ft.
- -----------------------------------------------------------------------------------------------------------------------------------
56 06/11/98 73.3% 59.4% 95.00 1997 78 Rooms
57 02/19/98 72.5% 59.7% 72.50 1996 109 Rooms
63 06/12/98 73.8% 59.8% 87.75 1997 78 Rooms
74 01/14/99 66.6% 3.1% 58.28 1986 148 Rooms
76 06/24/98 72.9% 59.1% 83.00 1997 78 Rooms
- -----------------------------------------------------------------------------------------------------------------------------------
87 03/20/98 94.5% 31.2% 1987 37,775 Sq. Ft.
89 01/14/99 46.1% 2.2% 44.95 1979 1997 200 Rooms
95 03/31/98 94.5% 31.2% 1984 1997 47,507 Sq. Ft.
101 06/01/97 68.6% 49.1% 53.70 1982 156 Rooms
109 03/31/98 94.5% 31.2% 1982 27,946 Sq. Ft.
- -----------------------------------------------------------------------------------------------------------------------------------
111 03/22/98 94.5% 31.2% 1985 27,135 Sq. Ft.
123 01/14/99 100.2% 4.7% 31.89 1966; 1973 1998 156 Rooms
126 06/16/98 65.1% 44.6% 53.80 1984; 1986 80 Rooms
130 05/20/98 72.2% 58.5% 55.00 1996 80 Rooms
142 01/07/99 64.9% 3.0% 37.78 1974 1998 148 Rooms
- -----------------------------------------------------------------------------------------------------------------------------------
150 01/22/99 78.0% 3.7% 36.98 1974 1996 151 Rooms
171 10/22/97 68.0% 49.1% 43.15 1985 1996 62 Rooms
182 01/05/99 65.6% 3.1% 35.50 1974 1995 94 Rooms
218 03/24/98 94.5% 31.2% 1974 22,472 Sq. Ft.
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
UNDERWRITING
CONTROL ORIGINAL LOAN AMOUNT OCCUPANCY REPLACEMENT RESERVES
NUMBER PER (UNIT) PERCENTAGE (%) RENT ROLL DATE PER (UNIT) PER YEAR
- ----------------------------------------------------------------------------------------------------------------
1 69,467 68.8%
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
4 77,812 67.5% 12/31/98 2,370.48
11 173,803 85.4% 12/31/98 4,055.46
20 39,039 61.4% 855.60
39 49,848 85.7% 06/11/98
54 120 100.0% Not Available - Single Tenant 0.00
- ----------------------------------------------------------------------------------------------------------------
56 77,795 81.9% 1,112.57
57 53,211 76.0% 785.74
63 69,756 78.6% 1,064.50
74 34,642 63.5% 590.59
76 63,949 79.7% 937.21
- ----------------------------------------------------------------------------------------------------------------
87 117 100.0% Not Available - Single Tenant 0.00
89 21,000 75.5% 506.82
95 89 100.0% Not Available - Single Tenant 0.00
101 23,558 60.0% 596.44
109 118 100.0% Not Available - Single Tenant 0.00
- ----------------------------------------------------------------------------------------------------------------
111 119 100.0% Not Available - Single Tenant 0.00
123 17,705 73.3% 322.38
126 33,750 68.1% 536.32
130 32,813 73.1% 602.61
142 16,966 79.3% 411.86
- ----------------------------------------------------------------------------------------------------------------
150 15,298 69.6% 385.11
171 29,032 76.2% 480.08
182 16,383 68.3% 374.59
218 48 100.0% Not Available - Single Tenant 0.00
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
CONTROL LARGEST TENANT AREA LARGEST TENANT
NUMBER LARGEST TENANT NAME LEASED (SQ. FT.) EXPIRATION DATE
- ----------------------------------------------------------------------------------------------------
1
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
4
11
20
39
54 Motel 6 54,293 05/31/16
- ----------------------------------------------------------------------------------------------------
56
57
63
74
76
- ----------------------------------------------------------------------------------------------------
87 Motel 6 37,775 05/31/16
89
95 Motel 6 47,507 05/31/16
101
109 Motel 6 27,946 05/31/16
- ----------------------------------------------------------------------------------------------------
111 Motel 6 27,135 05/31/16
123
126
130
142
- ----------------------------------------------------------------------------------------------------
150
171
182
218 Motel 6 22,472 05/31/16
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
CONTROL 2ND LARGEST TENANT 2ND LARGEST TENANT
NUMBER 2ND LARGEST TENANT NAME AREA LEASED (SQ. FT.) EXPIRATION DATE
- -------------------------------------------------------------------------------------------
1
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
4
11
20
39
54
- -------------------------------------------------------------------------------------------
56
57
63
74
76
- -------------------------------------------------------------------------------------------
87
89
95
101
109
- -------------------------------------------------------------------------------------------
111
123
126
130
142
- -------------------------------------------------------------------------------------------
150
171
182
218
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
AFFILIATED
3RD LARGEST BORROWERS IN
CONTROL TENANT AREA 3RD LARGEST TENANT EXCESS OF 5% OF
NUMBER 3RD LARGEST TENANT NAME LEASED (SQ. FT.) EXPIRATION DATE POOL ARD LOANS
- ----------------------------------------------------------------------------------------------------------------------------
1 ARD
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
4
11 ARD
20
39
54
- ----------------------------------------------------------------------------------------------------------------------------
56
57
63
74
76
- ----------------------------------------------------------------------------------------------------------------------------
87
89
95
101
109
- ----------------------------------------------------------------------------------------------------------------------------
111
123
126
130
142
- ----------------------------------------------------------------------------------------------------------------------------
150
171
182
218
</TABLE>
<PAGE>
Footnotes
(1) Fully Amortizing Loans which accrue interest on an Actual/360 basis will
have a final balloon payment due as indicated by the Balloon Balance. For
the 11 such loans in this pool, this balloon payment represents no more
than 9% of the property's App
(2) Each Mortgage Loan described by "Steps" under Annual Debt Service is
subject to specified periodic changes in the amount of debt payments at
specified times in the future. Refer to Annex A-2 for these step schedules.
(3) With respect to Credit Lease Loans which are also Balloon Loans, each such
loan has benefit of a residual value insurance policy. The related Balloon
Payments may be repaid from the amount paid by the related insurer pursuant
to such policies.
(4) Cut-Off LTV and DSCR for this loan assumes application of a $200,000 letter
of credit which is being held as additional collateral for the loan.
(5) Underwritten ADR is not applicable to Credit Lease Loans.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<TABLE>
<CAPTION>
CONTROL
NUMBER PROPERTY NAME ADDRESS CITY
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
40 Circuit City Norwalk 444 444 Connecticut Avenue Norwalk
54 Motel 6 1115 Raleigh 1401 Buck Jones Road Raleigh
- ------------------------------------------------------------------------------------------------------------------------------------
62 Winn Dixie Chesapeake Cedar Cedar Road and Las Gavitos Boulevard Chesapeake
87 Motel 6 1129 Hilton Head 830 William Hilton Parkway Hilton Head
92 Eagle Davenport Locust 405 East Locust Street Davenport
95 Motel 6 1081 Little Rock (W) 10524 W. Markham Street Little Rock
109 Motel 6 740 Reno Sparks 2405 Victorian Avenue Sparks
111 Motel 6 608 Mobile 5488 Inn Road Mobile
- ------------------------------------------------------------------------------------------------------------------------------------
113 Rite Aid - Commerce Township 2425 East Haggerty Commerce Township
119 Walgreen Colleyville 3880 Glade Road Colleyville
122 Rite Aid - Holland 40th & Washington Holland
125 Walgreens at Silver Lakes SEC of 184th St. and Pines Blvd. Pembroke Pines
127 Staples York Loucks Road 965 Loucks Rd York
- ------------------------------------------------------------------------------------------------------------------------------------
132 Walgreen Franklin Fieldstone 2045 Fieldstone Parkway Franklin
134 CVS Yarmouth Main 976 Main Street Yarmouth
135 Walgreen Duncanville Wheatland 8120 South Cockrell Hill Road Dallas
137 Rite Aid - Claremont 45-99 Washington Street Claremont
145 Eckerd Oveido Red Bug Lake 8315 Red Bug Lake Road Oviedo
- ------------------------------------------------------------------------------------------------------------------------------------
147 Rite Aid - Ironton 715 Park Avenue Ironton
168 Eckerd Ferber Tallahassee NEC North Monroe & Crowder St. Tallahassee
169 CVS Lansdowne Hollins Ferry 3915 Hollins Ferry Road Lansdowne
175 Eckerd, Tarboro 1600 Main Street Tarboro
180 CVS Rocky Mount Franklin St & Dent Street Rocky Mount
- ------------------------------------------------------------------------------------------------------------------------------------
190 IHOP Rock Hill North Cherry North Cherry Road Rock Hill
193 CVS Greenville Old Buncombe 4102 Old Buncombe Road Greenville
216 Southland Ormond Beach Nova 690 South Nova Road Ormond Beach
218 Motel 6 202 Lumberton 2361 Lackey Road Lumberton
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
CONTROL CROSS-COLLATERALIZED AND ORIGINAL BALANCE CUT-OFF DATE
NUMBER STATE ZIP CODE CROSS-DEFAULTED GROUPS ($) BALANCE ($)
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
40 CT 06854 7,928,313 7,898,702
54 NC 27606 6,509,982 6,235,064
- -------------------------------------------------------------------------------------------------------------
62 VA 23322 5,501,754 5,445,132
87 SC 29928 4,418,896 4,232,286
92 IA 52803 4,126,000 4,085,191
95 AR 72205 4,221,624 4,043,344
109 NV 89431 3,304,309 3,164,767
111 AL 36619 3,215,536 3,079,744
- -------------------------------------------------------------------------------------------------------------
113 MI 48382 3,085,174 3,046,015
119 TX 76034 2,840,000 2,805,603
122 MI 49423 2,800,238 2,764,695
125 FL 33029 2,710,910 2,672,432
127 PA 17404 2,670,305 2,647,603
- -------------------------------------------------------------------------------------------------------------
132 TN 37064 2,593,500 2,563,871
134 MA 02664 2,582,632 2,556,250
135 TX 75236 2,581,625 2,550,305
137 NH 03743 2,558,118 2,527,844
145 FL 32765 2,450,306 2,418,557
- -------------------------------------------------------------------------------------------------------------
147 OH 45638 2,414,068 2,385,499
168 FL 32301 1,861,865 1,836,154
169 MD 21227 1,846,392 1,831,525
175 NC 27886 1,707,770 1,690,369
180 VA 24151 1,534,946 1,520,209
- -------------------------------------------------------------------------------------------------------------
190 SC 29730 1,397,827 1,389,770
193 SC 27258 1,347,794 1,306,853
216 FL 32174 1,085,792 1,068,620
218 NC 28358 1,084,997 1,039,177
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
REMAINING TERM
CONTROL INTEREST ORIGINAL TERM TO TO MATURITY
NUMBER MORTGAGE RATE (%) ACCRUAL METHOD AMORTIZATION TYPE (1) MATURITY (MOS.) (MOS.)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
40 7.7500% 30/360 Fully Amortizing 240 236
54 7.2350% 30/360 Amortizing Balloon 216 205
- ---------------------------------------------------------------------------------------------------------------------
62 6.7500% 30/360 Amortizing Balloon 240 233
87 7.2350% 30/360 Amortizing Balloon 216 205
92 8.1100% 30/360 Amortizing Balloon 264 255
95 7.2350% 30/360 Amortizing Balloon 216 205
109 7.2350% 30/360 Amortizing Balloon 216 205
111 7.2350% 30/360 Amortizing Balloon 216 205
- ---------------------------------------------------------------------------------------------------------------------
113 6.9420% 30/360 Amortizing Balloon 264 253
119 6.7000% 30/360 Fully Amortizing 240 234
122 6.9420% 30/360 Amortizing Balloon 264 253
125 6.7500% 30/360 Fully Amortizing 239 232
127 7.0200% 30/360 Amortizing Balloon 179 175
- ---------------------------------------------------------------------------------------------------------------------
132 7.1250% 30/360 Fully Amortizing 241 235
134 7.3750% 30/360 Fully Amortizing 246 236
135 6.7500% 30/360 Fully Amortizing 239 233
137 6.9420% 30/360 Amortizing Balloon 264 253
145 6.6875% 30/360 Fully Amortizing 238 231
- ---------------------------------------------------------------------------------------------------------------------
147 6.9420% 30/360 Amortizing Balloon 264 253
168 7.2500% 30/360 Fully Amortizing 235 228
169 6.7400% 30/360 Fully Amortizing 239 235
175 7.1250% 30/360 Fully Amortizing 236 230
180 7.0000% 30/360 Fully Amortizing 235 228
- ---------------------------------------------------------------------------------------------------------------------
190 7.7500% 30/360 Fully Amortizing 297 288
193 7.1250% 30/360 Fully Amortizing 175 164
216 9.1250% 30/360 Fully Amortizing 171 163
218 7.2350% 30/360 Amortizing Balloon 216 205
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
ORIGINAL REMAINING
CONTROL AMORTIZATION AMORTIZATION MATURITY OR ARD
NUMBER TERM (MOS.) TERM (MOS.) ORIGINATION DATE DATE GENERAL PROPERTYTYPE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
40 240 236 12/28/98 01/01/19 Retail
54 270 259 05/29/98 06/01/16 Hospitality
- -------------------------------------------------------------------------------------------------------------
62 283 276 09/15/98 10/01/18 Retail
87 270 259 05/29/98 06/01/16 Hospitality
92 296 287 07/14/98 08/01/20 Retail
95 270 259 05/29/98 06/01/16 Hospitality
109 270 259 05/29/98 06/01/16 Hospitality
111 270 259 05/29/98 06/01/16 Hospitality
- -------------------------------------------------------------------------------------------------------------
113 315 304 05/21/98 06/01/20 Retail
119 240 234 10/07/98 11/01/18 Retail
122 315 304 05/21/98 06/01/20 Retail
125 239 232 09/18/98 09/01/18 Retail
127 228 224 12/23/98 12/01/13 Retail
- -------------------------------------------------------------------------------------------------------------
132 241 235 10/29/98 12/01/18 Retail
134 246 236 06/23/98 01/01/19 Retail
135 239 233 10/19/98 10/01/18 Retail
137 325 314 05/21/98 06/01/20 Retail
145 238 231 10/01/98 08/01/18 Retail
- -------------------------------------------------------------------------------------------------------------
147 325 314 05/21/98 06/01/20 Retail
168 235 228 09/04/98 05/01/18 Retail
169 239 235 12/23/98 12/01/18 Retail
175 236 230 10/29/98 07/01/18 Retail
180 235 228 10/02/98 05/01/18 Retail
- -------------------------------------------------------------------------------------------------------------
190 297 288 07/31/98 05/01/23 Special Purpose
193 175 164 05/21/98 01/01/13 Retail
216 171 163 08/07/98 12/01/12 Retail
218 270 259 05/29/98 06/01/16 Hospitality
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
CONTROL ANNUAL DEBT
NUMBER SPECIFIC PROPERTY TYPE CTL FLAG PREPAYMENT PROVISIONS SERVICE ($) (2)
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
40 Electronics Store CTL L(4),D(16) Steps
54 Limited Service CTL L(2),YM(16) Steps
- -------------------------------------------------------------------------------------------------------------
62 Grocery Store CTL L(4),D(16) 466,809
87 Limited Service CTL L(2),YM(16) Steps
92 Grocery Store CTL L(4),D(18) 387,576
95 Limited Service CTL L(2),YM(16) Steps
109 Limited Service CTL L(2),YM(16) Steps
111 Limited Service CTL L(2),YM(16) Steps
- -------------------------------------------------------------------------------------------------------------
113 Drug Store CTL L(4),D(18) 255,671
119 Drug Store CTL L(8),D(12) 258,120
122 Drug Store CTL L(4),D(18) 232,058
125 Drug Store CTL L(8),D(11.92) 247,844
127 Office Supplies CTL L(4),D(10.92) 254,966
- -------------------------------------------------------------------------------------------------------------
132 Drug Store CTL L(4),D(16.08) 243,172
134 Drug Store CTL L(4),D(16.5) Steps
135 Drug Store CTL L(4),D(15.92) 236,024
137 Drug Store CTL L(4),D(18) 209,666
145 Drug Store CTL L(4),D(15.83) Steps
- -------------------------------------------------------------------------------------------------------------
147 Drug Store CTL L(4),D(18) 197,860
168 Drug Store CTL L(8),YM(11.58) Steps
169 Drug Store CTL L(4),D(15.92) 168,674
175 Drug Store CTL L(4),D(15.66) Steps
180 Drug Store CTL L(4),D(15.58) Steps
- -------------------------------------------------------------------------------------------------------------
190 Restaurant CTL L(4),D(20.75) Steps
193 Drug Store CTL L(4),D(10.58) Steps
216 Convenience Store CTL L(8),YM1%(6.25) Steps
218 Limited Service CTL L(2),YM(16) Steps
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
CONTROL APPRAISED VALUE CUTOFF DATE LTV
NUMBER NET CASH FLOW ($) DSCR (X) ($) APPRAISAL DATE (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
40 807,784 1.15 8,950,000 12/07/98 88.3%
54 513,033 1.00 6,600,000 03/24/98 94.5%
- --------------------------------------------------------------------------------------------------------
62 468,210 1.00 5,600,000 09/15/98 97.2%
87 348,241 1.00 4,480,000 03/20/98 94.5%
92 399,524 1.03 4,350,000 06/21/98 93.9%
95 332,694 1.00 4,280,000 03/31/98 94.5%
109 259,075 1.00 3,350,000 03/31/98 94.5%
111 252,408 1.00 3,260,000 03/22/98 94.5%
- --------------------------------------------------------------------------------------------------------
113 255,671 1.00 3,140,000 06/01/98 97.0%
119 291,249 1.13 3,550,000 10/01/98 79.0%
122 232,058 1.00 2,850,000 06/01/98 97.0%
125 248,587 1.00 2,970,000 05/07/98 90.0%
127 255,731 1.00 2,820,000 10/28/98 93.9%
- --------------------------------------------------------------------------------------------------------
132 255,331 1.05 2,975,000 01/02/98 86.2%
134 224,138 1.01 2,700,000 05/27/98 94.7%
135 236,732 1.00 2,800,000 09/08/98 91.1%
137 209,666 1.00 2,600,000 04/23/98 97.2%
145 218,040 1.00 2,600,000 08/26/98 93.0%
- --------------------------------------------------------------------------------------------------------
147 197,860 1.00 2,430,000 04/23/98 98.2%
168 182,987 1.06 2,100,000 10/28/97 87.4%
169 169,180 1.00 1,950,000 10/29/98 93.9%
175 156,435 1.00 1,860,000 07/01/98 90.9%
180 136,048 1.03 1,550,000 03/11/98 98.1%
- --------------------------------------------------------------------------------------------------------
190 130,680 1.10 1,400,000 12/06/97 99.3%
193 139,801 1.00 1,600,000 01/27/98 81.7%
216 130,366 1.05 1,250,000 07/20/97 85.5%
218 85,506 1.00 1,100,000 03/24/98 94.5%
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
UNDERWRITTEN
SCHEDULED HOSPITALITY
CONTROL MATURITY DATE AVERAGE DAILY
NUMBER LTV (%) (3) RATE ($) (5) YEAR BUILT YEAR RENOVATED NO. OF (UNITS)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
40 0.0% 1998 33,790
54 31.2% 1971 54,293
- ----------------------------------------------------------------------------------------------------
62 26.5% 1998 51,282
87 31.2% 1987 37,775
92 21.0% 1990 35,370
95 31.2% 1984 1997 47,507
109 31.2% 1982 27,946
111 31.2% 1985 27,135
- ----------------------------------------------------------------------------------------------------
113 30.0% 1997 11,060
119 0.0% 1998 13,905
122 30.0% 1998 10,752
125 0.0% 1998 13,905
127 31.9% 1972 1998 35,549
- ----------------------------------------------------------------------------------------------------
132 0.0% 1998 13,905
134 0.0% 1998 9,975
135 0.0% 1998 13,905
137 34.7% 1998 11,180
145 0.0% 1998 10,908
- ----------------------------------------------------------------------------------------------------
147 35.0% 1998 10,752
168 0.0% 1998 10,908
169 0.0% 1998 10,125
175 0.0% 1998 10,908
180 0.0% 1998 10,125
- ----------------------------------------------------------------------------------------------------
190 0.0% 1998 4,958
193 0.0% 1997 10,125
216 0.0% 1997 3,174
218 31.2% 1974 22,472
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
UNDERWRITING
ORIGINAL LOAN REPLACEMENT
CONTROL AMOUNT PER OCCUPANCY RESERVES PER
NUMBER UNIT OF MEASURE (UNIT) PERCENTAGE (%) RENT ROLL DATE (UNIT) PER YEAR
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
40 Sq. Ft. 235 100.0% Not Available - Single Tenant 0.25
54 Sq. Ft. 120 100.0% Not Available - Single Tenant 0.00
- ------------------------------------------------------------------------------------------------------------------------------
62 Sq. Ft. 107 100.0% Not Available - Single Tenant 0.00
87 Sq. Ft. 117 100.0% Not Available - Single Tenant 0.00
92 Sq. Ft. 117 100.0% Not Available - Single Tenant 0.00
95 Sq. Ft. 89 100.0% Not Available - Single Tenant 0.00
109 Sq. Ft. 118 100.0% Not Available - Single Tenant 0.00
111 Sq. Ft. 119 100.0% Not Available - Single Tenant 0.00
- ------------------------------------------------------------------------------------------------------------------------------
113 Sq. Ft. 279 100.0% Not Available - Single Tenant 0.00
119 Sq. Ft. 204 100.0% Not Available - Single Tenant 0.20
122 Sq. Ft. 260 100.0% Not Available - Single Tenant 0.00
125 Sq. Ft. 195 100.0% Not Available - Single Tenant 0.30
127 Sq. Ft. 75 100.0% Not Available - Single Tenant 0.25
- ------------------------------------------------------------------------------------------------------------------------------
132 Sq. Ft. 187 100.0% Not Available - Single Tenant 0.20
134 Sq. Ft. 259 100.0% Not Available - Single Tenant 0.30
135 Sq. Ft. 186 100.0% Not Available - Single Tenant 0.30
137 Sq. Ft. 229 100.0% Not Available - Single Tenant 0.00
145 Sq. Ft. 225 100.0% Not Available - Single Tenant 0.00
- ------------------------------------------------------------------------------------------------------------------------------
147 Sq. Ft. 225 100.0% Not Available - Single Tenant 0.00
168 Sq. Ft. 171 100.0% Not Available - Single Tenant 0.20
169 Sq. Ft. 182 100.0% Not Available - Single Tenant 0.30
175 Sq. Ft. 157 100.0% Not Available - Single Tenant 0.30
180 Sq. Ft. 152 100.0% Not Available - Single Tenant 0.30
- ------------------------------------------------------------------------------------------------------------------------------
190 Sq. Ft. 282 100.0% Not Available - Single Tenant 0.00
193 Sq. Ft. 133 100.0% Not Available - Single Tenant 0.30
216 Sq. Ft. 342 100.0% Not Available - Single Tenant 0.21
218 Sq. Ft. 48 100.0% Not Available - Single Tenant 0.00
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
LARGEST TENANT 2ND LARGEST
CONTROL AREA LEASED LARGEST TENANT 2ND LARGEST TENANT AREA
NUMBER LARGEST TENANT NAME (SQ. FT.) EXPIRATION DATE TENANT NAME LEASED (SQ. FT.)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
40 Circuit City Stores, Inc 33,790 01/31/19
54 Motel 6 54,293 05/31/16
- ------------------------------------------------------------------------------------------------------------------------------
62 Winn-Dixie Raleigh, Inc. 51,282 11/19/18
87 Motel 6 37,775 05/31/16
92 Eagle Food Centers, Inc. 35,370 07/31/20
95 Motel 6 47,507 05/31/16
109 Motel 6 27,946 05/31/16
111 Motel 6 27,135 05/31/16
- ------------------------------------------------------------------------------------------------------------------------------
113 Rite Aid of Michigan 11,060 05/31/20
119 Walgreen Company 13,905 11/30/18
122 Rite Aid of Michigan 10,752 05/31/20
125 Walgreen Company 13,905 09/30/18
127 Staples, Inc. 35,549 12/31/13
- ------------------------------------------------------------------------------------------------------------------------------
132 Walgreen Company 13,905 12/31/18
134 South Yarmouth CVS, Inc. 9,975 01/31/19
135 Walgreen Company 13,905 10/31/18
137 Rite Aid of New Hampshire 11,180 05/31/20
145 Eckerd Corporation 10,908 09/01/18
- ------------------------------------------------------------------------------------------------------------------------------
147 Rite Aid of Ohio 10,752 05/31/20
168 Eckerd Corporation 10,908 06/25/18
169 Revco Discount Drug Centers, Inc 10,125 12/31/18
175 Eckerd Corporation 10,908 08/03/18
180 Revco Discount Drug Stores, Inc. 10,125 05/31/18
- ------------------------------------------------------------------------------------------------------------------------------
190 IHOP Properties, Inc. 4,958 05/31/23
193 Old Buncombe Road CVS, Inc. 10,125 01/31/13
216 The Southland Corporation 3,174 12/31/12
218 Motel 6 22,472 05/31/16
</TABLE>
<PAGE>
(Table continued)
<TABLE>
<CAPTION>
AFFILIATED
2ND LARGEST 3ND LARGEST 3ND LARGEST BORROWERS IN
CONTROL TENANT 3ND LARGEST TENANT AREA TENANT EXCESS OF 5% OF
NUMBER EXPIRATION DATE TENANT NAME LEASED (SQ. FT.) EXPIRATION DATE POOL ARD LOANS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
40
54
- ---------------------------------------------------------------------------------------------------------------------
62
87
92
95
109
111
- ---------------------------------------------------------------------------------------------------------------------
113
119
122
125
127
- ---------------------------------------------------------------------------------------------------------------------
132
134
135
137
145
- ---------------------------------------------------------------------------------------------------------------------
147
168
169
175
180
- ---------------------------------------------------------------------------------------------------------------------
190
193
216
218
</TABLE>
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
FUNCM
99.C2
Agency Rating (M/F)
AAA Sub 25.75
BBB Sub 11.75
BB Sub
Deal Size 1,181,529,534
Settle Date 5/20/99
Top 10 Loans 22.85%
Top 3 Loans 9.96%
DEAL STATISTICS
WA DSCR 1.36
Min. DSCR 1.14 *part of cross pool with coverage = 1.49x
% DSCR < 1.25 20.28 *does not include CTL loans
WA LTV 71.17 *does not include CTL loans
Max. LTV 100.16 *part of cross pool with leverage = 68.1%
% LTV >75% 24.86 *does not include CTL loans
% LTV >80% 3.04 *does not include CTL loans
1st Stressed LTV
2nd Stressed DSCR
CF variance
2nd Stressed LTV
PROPERTY TYPES
% Hotel/Hospitality 14.08
% Office 12.12
% Retail 25.75
% Multifamily 30.93
% Industrial 3.15
% Mobile Home Park 0.8
% Self Storage 0.17
% Mixed Use 4.25
% Convenience Store 0 (subset of Retail)
% Health Care 2.09
% Other 6.67 (CTL)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
Number of
Prop Type State Properties Issuance Balance Percent
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CTL NC 3 8,964,610.28 0.76%
FL 4 7,995,763.21 0.68%
CT 1 7,898,702.22 0.67%
Healthcare GA 4 9,177,782.80 0.78%
NC 2 6,274,811.03 0.53%
NY 1 5,383,759.34 0.46%
Hospitality AL 2 27,863,583.71 2.36%
DE 1 22,507,514.82 1.90%
FL 3 19,514,631.45 1.65%
Industrial WI 3 10,635,445.88 0.90%
PA 2 9,414,221.08 0.80%
FL 3 5,113,217.27 0.43%
MHC MN 1 5,206,861.46 0.44%
CA 1 2,518,221.41 0.21%
OH 1 1,764,323.75 0.15%
Mixed Use CA 5 30,550,881.56 2.59%
GA 2 5,555,492.99 0.47%
CT 1 4,931,973.00 0.42%
Multifamily GA 8 94,265,974.23 7.98%
NC 9 41,521,599.38 3.51%
CA 14 33,881,478.31 2.87%
Office CA 7 40,559,627.33 3.43%
NY 4 27,243,286.13 2.31%
CT 1 19,932,471.37 1.69%
Retail - Anchored TX 4 47,829,697.26 4.05%
CA 10 33,261,562.53 2.82%
PA 3 28,798,621.21 2.44%
Retail - Unanchored NY 7 11,726,086.92 0.99%
CA 2 7,678,990.37 0.65%
TX 2 5,895,904.26 0.50%
Self Storage VA 1 1,993,054.35 0.17%
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
FUCMC BOND ANALYZER CMBS Sensitivity Analysis
-------------------------
ISSUE FUNCM 99C2
----------
TRANCHE IO YIELD CURVE
---------- ------------------------------
CUSIP 2YR 5YR 10YR 30YR
---------- ------------------------------
PRICE 5-16+ 5.079 5.212 5.320 5.701
---------- ------------------------------
SETTLE DATE 5/20/99
----------
PRICE DATE
----------
<TABLE>
<CAPTION>
10% CPR 50% CPR 100% CPR
------- ------- --------
<S> <C> <C> <C>
YIELD CHANGE (BP) FOR PREPAYMENTS AFTER LO, YM, AND PENALTIES -1 -4 -27
YIELD CHANGE (BP) FOR PREPAYMENTS DURING PENALTY PERIOD -3 -10 -36
YIELD CHANGE (BP) FOR PREPAYMENTS DURING YM (YIELD CURVE UNCH) 23 65 71
YIELD CHANGE (BP) FOR PREPAYMENTS DURING YM (YIELD CURVE -100BP) 28 76 87
YIELD CHANGE (BP) FOR PREPAYMENTS DURING YM (YIELD CURVE +100BP) 15 47 44
YIELD CHANGE (BP) FOR PREPAYMENTS DURING YM (YIELD CURVE +200BP) -47 -124 -187
</TABLE>
<TABLE>
<CAPTION>
1% CDR 2% CDR 3% CDR 4% CDR
------ ------ ------ ------
<S> <C> <C> <C> <C>
YIELD CHANGE (BP) FOR DEFAULTS ASSUMING NO PREPAYMENTS -140 -282 -426 -578
YIELD CHANGE (BP) FOR DEFAULTS ASSUMING 100 CPR DURING YM (YIELD CURVE -100 BP) -128 -261 -401 -548
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
SCENARIO PREPAY ASSUMPTN YIELD DEFAULT ASSUMPTN PREPAY WHEN ...
-------------------- ----------------- ----------------
# UNIT RATE SHOCK UNIT RATE
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
1 CPR 0.00% 0.00% CDR 0.00% After All Penalties
2 CPR 10.00% 0.00% CDR 0.00% After All Penalties
3 CPR 50.00% 0.00% CDR 0.00% After All Penalties
4 CPR 100.00% 0.00% CDR 0.00% After All Penalties
- ---------------------------------------------------------------------------------------------------------------------
5 CPR 10.00% 0.00% CDR 0.00% After Yield Maintenance
6 CPR 50.00% 0.00% CDR 0.00% After Yield Maintenance
7 CPR 100.00% 0.00% CDR 0.00% After Yield Maintenance
- ---------------------------------------------------------------------------------------------------------------------
8 CPR 10.00% 0.00% CDR 0.00% After Lock Out Periods
9 CPR 50.00% 0.00% CDR 0.00% After Lock Out Periods
10 CPR 100.00% 0.00% CDR 0.00% After Lock Out Periods
- ---------------------------------------------------------------------------------------------------------------------
11 CPR 10.00% -1.00% CDR 0.00% After Lock Out Periods
12 CPR 50.00% -1.00% CDR 0.00% After Lock Out Periods
13 CPR 100.00% -1.00% CDR 0.00% After Lock Out Periods
- ---------------------------------------------------------------------------------------------------------------------
14 CPR 10.00% 1.00% CDR 0.00% After Lock Out Periods
15 CPR 50.00% 1.00% CDR 0.00% After Lock Out Periods
16 CPR 100.00% 1.00% CDR 0.00% After Lock Out Periods
- ---------------------------------------------------------------------------------------------------------------------
17 CPR 10.00% 2.00% CDR 0.00% After Lock Out Periods
18 CPR 50.00% 2.00% CDR 0.00% After Lock Out Periods
19 CPR 100.00% 2.00% CDR 0.00% After Lock Out Periods
- ---------------------------------------------------------------------------------------------------------------------
20 CPR 0.00% 0.00% CDR 1.00% After All Penalties
21 CPR 0.00% 0.00% CDR 2.00% After All Penalties
22 CPR 0.00% 0.00% CDR 3.00% After All Penalties
23 CPR 0.00% 0.00% CDR 4.00% After All Penalties
- ---------------------------------------------------------------------------------------------------------------------
24 CPR 100.00% -1.00% CDR 1.00% After Lock Out Periods
25 CPR 100.00% -1.00% CDR 2.00% After Lock Out Periods
26 CPR 100.00% -1.00% CDR 3.00% After Lock Out Periods
27 CPR 100.00% -1.00% CDR 4.00% After Lock Out Periods
</TABLE>
(Table Continued)
<TABLE>
<CAPTION>
SCENARIO
# YIELD WAL MODDUR SPRD(BP) TSY MAT WIN BEG WIN END
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
1 9.107 9.466 4.146 376 9.47 6/15/99 3/15/19
- -----------------------------------------------------------------------------------------------------------
2 9.101 9.463 4.145 376 9.46 6/15/99 3/15/19
3 9.072 9.444 4.143 373 9.44 6/15/99 3/15/19
4 8.840 9.288 4.123 350 9.29 6/15/99 3/15/19
- -----------------------------------------------------------------------------------------------------------
5 9.076 9.444 4.136 373 9.44 6/15/99 10/15/18
6 9.007 9.398 4.120 367 9.40 6/15/99 6/15/18
7 8.750 9.227 4.092 341 9.23 6/15/99 4/15/18
- -----------------------------------------------------------------------------------------------------------
8 9.334 9.170 4.029 400 9.17 6/15/99 10/15/18
9 9.758 8.757 3.793 443 8.76 6/15/99 6/15/18
10 9.819 8.468 3.607 450 8.47 6/15/99 4/15/18
- -----------------------------------------------------------------------------------------------------------
11 9.386 9.170 4.028 405 9.17 6/15/99 10/15/18
12 9.867 8.757 3.778 454 8.76 6/15/99 6/15/18
13 9.980 8.468 3.582 466 8.47 6/15/99 4/15/18
- -----------------------------------------------------------------------------------------------------------
14 9.259 9.170 4.034 392 9.17 6/15/99 10/15/18
15 9.574 8.757 3.819 425 8.76 6/15/99 6/15/18
16 9.545 8.468 3.653 423 8.47 6/15/99 4/15/18
- -----------------------------------------------------------------------------------------------------------
17 8.638 9.170 4.101 330 9.17 6/15/99 10/15/18
18 7.868 8.757 4.065 254 8.76 6/15/99 6/15/18
19 7.239 8.468 4.055 192 8.47 6/15/99 4/15/18
- -----------------------------------------------------------------------------------------------------------
20 7.707 8.993 4.176 238 8.99 6/15/99 10/15/18
21 6.291 8.549 4.202 97 8.55 6/15/99 6/15/18
22 4.850 8.131 4.221 -46 8.13 6/15/99 12/15/17
23 3.327 7.738 4.219 -197 7.74 6/15/99 5/15/17
- -----------------------------------------------------------------------------------------------------------
24 8.698 8.068 3.608 339 8.07 6/15/99 12/15/17
25 7.367 7.690 3.635 207 7.69 6/15/99 5/15/17
26 5.972 7.333 3.654 69 7.33 6/15/99 10/15/16
27 4.501 6.995 3.663 -77 7.00 6/15/99 1/15/16
</TABLE>
THIS ANALYSIS MUST NOT BE PRINTED WITHOUT THE FOLLOWING INFORMATION:
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
FUNCM99C2_RED2, CLASS IO--PRICE/YIELD
CUSIP
Coupon 0.005
Delay 14
Stated Maturity N/A
Type SEN WAC IO
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
<TABLE>
<CAPTION>
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100CPR; 100CPR; EXT0MO 100CPR YM; EXT0MO
0CPR; EXT0MO 100% EXT0MO 100% 100% 0% RULES; 100% 0% RULES;
0% RULES; 0CDR,0% 0% RULES; 0CDR, 0% 0CDR,0% ADV100% 0CDR,0% ADV100%
PRICE ADV100% LAG0; 0BP ADV100% LAG0; 0BP LAG0; 300BP LAG0; 0BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
<S> <C> <C> <C> <C>
5-12+ 9.6771 10.4709 7.2873 9.3247
5-13 9.6071 10.3903 7.2174 9.2538
5-13+ 9.5376 10.3102 7.1479 9.1833
5-14 9.4683 10.2304 7.0787 9.1131
5-14+ 9.3994 10.1510 7.0099 9.0432
5-15 9.3308 10.0720 6.9414 8.9736
5-15+ 9.2625 9.9934 6.8732 8.9044
5-16 9.1945 9.9152 6.8053 8.8355
5-16+ 9.1269 9.8374 6.7377 8.7669
5-17 9.0595 9.7599 6.6704 8.6986
5-17+ 8.9925 9.6828 6.6035 8.6307
5-18 8.9258 9.6061 6.5369 8.5630
5-18+ 8.8594 9.5298 6.4705 8.4957
5-19 8.7933 9.4538 6.4045 8.4286
5-19+ 8.7275 9.3782 6.3388 8.3619
5-20 8.6620 9.3029 6.2734 8.2955
5-20+ 8.5968 9.2280 6.2083 8.2294
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 382 455 -155 346
WAL 9.48647 8.48529 8.48529 9.24419
Mod Durn 4.158 3.614 4.162 4.100
Mod Convexity 0.269 0.211 0.270 0.259
Principal Window Jun99 to Feb29 Jun99 to Sep23 Jun99 to Sep23 Jun99 to Sep23
Maturity #mos 357 292 292 292
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 100 CPR At 100 CPR At 100 CPR
No prepays During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Shock (bp) 0 0 300 0
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS IO--PRICE/YIELD
CUSIP
Coupon 0.005
Delay 14
Stated Maturity N/A
Type SEN WAC IO
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
100CPR YM PT; 0CPR; EXT0MO 100% 0CPR; EXT0MO 100%
EXT0MO 100% 0% 0% RULES; 0CDR, 0% RULES; 0CPR; EXT0MO 100%
RULES; 0CDR,0% 30% ADV100% LAG12; 1CDR,30% ADV100% 0% RULES; 2CDR,30%
PRICE ADV100% LAG0; 0BP 0BP LAG12; 0BP ADV100% LAG12; 0BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
5-12+ 9.4136 9.6771 8.5457 7.3883
5-13 9.3433 9.6071 8.4758 7.3183
5-13+ 9.2733 9.5376 8.4062 7.2486
5-14 9.2036 9.4683 8.3370 7.1793
5-14+ 9.1343 9.3994 8.2680 7.1103
5-15 9.0653 9.3308 8.1994 7.0416
5-15+ 8.9966 9.2625 8.1312 6.9732
5-16 8.9283 9.1945 8.0632 6.9051
5-16+ 8.8603 9.1269 7.9956 6.8374
5-17 8.7925 9.0595 7.9282 6.7700
5-17+ 8.7251 8.9925 7.8612 6.7029
5-18 8.6581 8.9258 7.7945 6.6361
5-18+ 8.5913 8.8594 7.7281 6.5696
5-19 8.5248 8.7933 7.6621 6.5035
5-19+ 8.4587 8.7275 7.5963 6.4376
5-20 8.3928 8.6620 7.5308 6.3720
5-20+ 8.3272 8.5968 7.4656 6.3068
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 356 382 270 154
WAL 9.30641 9.48647 9.09821 8.73210
Mod Durn 4.134 4.158 4.158 4.153
Mod Convexity 0.266 0.269 0.270 0.270
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357 357
0.00 (0.00%) 29,553,816.42 56,671,098.43
Total Collat Loss 0.00 (0.00%) (2.50%) (4.80%)
Prepay At 100 CPR At 0 CPR At 0 CPR At 0 CPR
During any pts,
No prepays any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 1 CDR At 2 CDR
Loss Severity 0% 30% 30% 30%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Shock (bp) 0 0 0 0
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS IO--PRICE/YIELD
CUSIP
Coupon 0.005
Delay 14
Stated Maturity N/A
Type SEN WAC IO
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100%
0% RULES; 3CDR,30% 0% RULES; 4CDR,30% 0% RULES; 5CDR,30% 0% RULES; 0CDR,30%
PRICE ADV100% LAG12; 0BP ADV100% LAG12; 0BP ADV100% LAG12; 0BP ADV100% LAG12; 0BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
5-12+ 6.1782 4.8552 3.3440 9.6771
5-13 6.1079 4.7841 3.2706 9.6071
5-13+ 6.0379 4.7133 3.1975 9.5376
5-14 5.9683 4.6428 3.1248 9.4683
5-14+ 5.8990 4.5727 3.0524 9.3994
5-15 5.8300 4.5029 2.9803 9.3308
5-15+ 5.7614 4.4334 2.9086 9.2625
5-16 5.6930 4.3642 2.8371 9.1945
5-16+ 5.6250 4.2954 2.7660 9.1269
5-17 5.5573 4.2269 2.6952 9.0595
5-17+ 5.4900 4.1587 2.6248 8.9925
5-18 5.4229 4.0908 2.5546 8.9258
5-18+ 5.3562 4.0233 2.4848 8.8594
5-19 5.2897 3.9560 2.4153 8.7933
5-19+ 5.2236 3.8891 2.3460 8.7275
5-20 5.1578 3.8224 2.2771 8.6620
5-20+ 5.0923 3.7561 2.2085 8.5968
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 34 -98 -251 382
WAL 8.38665 8.06048 7.75231 9.48647
Mod Durn 4.136 4.086 3.955 4.158
Mod Convexity 0.268 0.260 0.233 0.269
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357 357
81,554,640.15 104,389,019.93 125,342,489.09
Total Collat Loss (6.90%) (8.84%) (10.61%) 0.00 (0.00%)
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 3 CDR At 4 CDR At 5 CDR At 0 CDR
Loss Severity 30% 30% 30% 0.3
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Shock (bp) 0 0 0 0
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS IO--PRICE/YIELD
CUSIP
Coupon 0.005
Delay 14
Stated Maturity N/A
Type SEN WAC IO
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100%
0% RULES; 0 FOR 24 0% RULES; 0 FOR 24 0% RULES; 0 FOR 24 0% RULES; 0 FOR 24
1CDR, 30% 2CDR, 30% 3CDR, 30% 4CDR, 30%
PRICE ADV100% LAG12; 0BP ADV100% LAG12; 0BP ADV100% LAG12; 0BP ADV100% LAG12; 0BP
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
5-12+ 9.0351 8.3757 7.7151 7.0193
5-13 8.9648 8.3048 7.6436 6.9470
5-13+ 8.8947 8.2342 7.5724 6.8751
5-14 8.8250 8.1640 7.5016 6.8035
5-14+ 8.7556 8.0941 7.4311 6.7323
5-15 8.6866 8.0245 7.3609 6.6614
5-15+ 8.6179 7.9552 7.2911 6.5908
5-16 8.5495 7.8863 7.2216 6.5206
5-16+ 8.4814 7.8177 7.1524 6.4507
5-17 8.4136 7.7494 7.0836 6.3811
5-17+ 8.3462 7.6814 7.0150 6.3119
5-18 8.2790 7.6138 6.9468 6.2429
5-18+ 8.2122 7.5464 6.8789 6.1743
5-19 8.1457 7.4794 6.8113 6.1060
5-19+ 8.0795 7.4127 6.7441 6.0380
5-20 8.0136 7.3463 6.6771 5.9704
5-20+ 7.9479 7.2801 6.6104 5.9030
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 318 252 186 116
WAL 9.24234 9.00983 8.78825 8.57692
Mod Durn 4.131 4.099 4.066 4.023
Mod Convexity 0.266 0.262 0.257 0.252
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357 357
23,035,031.75 44,550,516.42 64,652,819.92 83,439,431.36
Total Collat Loss (1.95%) (3.77%) (5.47%) (7.06%)
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 1 CDR At 0 for 24 2 CDR At 0 for 24 3 CDR At 0 for 24 4 CDR
Loss Severity 0.3 0.3 30% 30%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Shock (bp) 0 0 0 0
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS IO--PRICE/YIELD
CUSIP
Coupon 0.005
Delay 14
Stated Maturity N/A
Type SEN WAC IO
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
0CPR; EXT0MO 100% 100CPR YM; EXT0MO 100CPR YM; EXT0MO 100CPR YM; EXT0MO
0% RULES; 0 FOR 24 100% 0% RULES; 100% 0% RULES; 100% 0% RULES;
5CDR,30% ADV100% 0CDR,30% ADV100% 1CDR,30% ADV100% 2CDR,30% ADV100%
PRICE LAG12; 0BP LAG12; 0BP LAG12; 0BP LAG12; 0BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
5-12+ 6.2772 9.3247 8.1952 7.0267
5-13 6.2039 9.2538 8.1243 6.9557
5-13+ 6.1310 9.1833 8.0538 6.8850
5-14 6.0584 9.1131 7.9836 6.8146
5-14+ 5.9862 9.0432 7.9137 6.7446
5-15 5.9143 8.9736 7.8441 6.6749
5-15+ 5.8427 8.9044 7.7749 6.6055
5-16 5.7715 8.8355 7.7060 6.5365
5-16+ 5.7006 8.7669 7.6374 6.4678
5-17 5.6300 8.6986 7.5691 6.3994
5-17+ 5.5598 8.6307 7.5012 6.3313
5-18 5.4899 8.5630 7.4335 6.2635
5-18+ 5.4203 8.4957 7.3662 6.1960
5-19 5.3510 8.4286 7.2991 6.1288
5-19+ 5.2820 8.3619 7.2324 6.0620
5-20 5.2134 8.2955 7.1660 5.9954
5-20+ 5.1451 8.2294 7.0999 5.9292
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 42 346 234 118
WAL 8.37523 9.24419 8.88002 8.53556
Mod Durn 3.967 4.100 4.100 4.092
Mod Convexity 0.243 0.259 0.259 0.259
Principal Window Jun99 to Feb29 Jun99 to Sep23 Jun99 to Nov23 Jun99 to Nov23
Maturity #mos 357 292 294 294
100,999,880.76 29,367,040.64 56,353,165.78
Total Collat Loss (8.55%) 0.00 (0.00%) (2.49%) (4.77%)
Prepay At 0 CPR At 100 CPR At 100 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 5 CDR At 0 CDR At 1 CDR At 2 CDR
Loss Severity 30% 0.3 0.3 0.3
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Shock (bp) 0 0 0 0
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS IO--PRICE/YIELD
CUSIP
Coupon 0.005
Delay 14
Stated Maturity N/A
Type SEN WAC IO
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100CPR YM; EXT0MO 100CPR YM; EXT0MO 100CPR YM; EXT0MO 100CPR YM; EXT0MO
100% 0% RULES; 100% 0% RULES; 100% 0% RULES; 100% 0% RULES;
3CDR,30% ADV100% 4CDR,30% ADV100% 5CDR,30% ADV100% 0CDR,30% ADV100%
PRICE LAG12; 0BP LAG12; 0BP LAG12; 0BP LAG12; 0BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
5-12+ 5.8140 4.5106 3.0220 9.3247
5-13 5.7427 4.4385 2.9479 9.2538
5-13+ 5.6717 4.3667 2.8742 9.1833
5-14 5.6010 4.2953 2.8007 9.1131
5-14+ 5.5306 4.2243 2.7276 9.0432
5-15 5.4606 4.1535 2.6549 8.9736
5-15+ 5.3910 4.0831 2.5824 8.9044
5-16 5.3216 4.0131 2.5103 8.8355
5-16+ 5.2526 3.9433 2.4385 8.7669
5-17 5.1838 3.8739 2.3671 8.6986
5-17+ 5.1155 3.8047 2.2959 8.6307
5-18 5.0474 3.7360 2.2251 8.5630
5-18+ 4.9796 3.6675 2.1545 8.4957
5-19 4.9121 3.5993 2.0843 8.4286
5-19+ 4.8450 3.5314 2.0144 8.3619
5-20 4.7781 3.4639 1.9448 8.2955
5-20+ 4.7116 3.3966 1.8756 8.2294
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price -3 -133 -283 346
WAL 8.20956 7.90090 7.60850 9.24419
Mod Durn 4.074 4.032 3.917 4.100
Mod Convexity 0.256 0.250 0.227 0.259
Principal Window Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Sep23
Maturity #mos 294 294 294 292
81,148,878.39 103,928,863.83 124,853,440.93
Total Collat Loss (6.87%) (8.80%) (10.57%) 0.00 (0.00%)
Prepay At 100 CPR At 100 CPR At 100 CPR At 100 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 3 CDR At 4 CDR At 5 CDR At 0 CDR
Loss Severity 30% 30% 30% 0.3
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Shock (bp) 0 0 0 0
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS IO--PRICE/YIELD
CUSIP
Coupon 0.005
Delay 14
Stated Maturity N/A
Type SEN WAC IO
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100CPR YM; EXT0MO 100CPR YM; EXT0MO 100CPR YM; EXT0MO 100CPR YM; EXT0MO
100% 0% RULES; 0 100% 0% RULES; 0 100% 0% RULES; 0 100% 0% RULES; 0
FOR 24 1CDR,30% FOR 24 2CDR,30% FOR 24 3CDR,30% FOR 24 4CDR,30%
PRICE ADV100% LAG12; 0BP ADV100% LAG12; 0BP ADV100% LAG12; 0BP ADV100% LAG12; 0BP
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
5-12+ 8.6923 8.0345 7.3736 6.6852
5-13 8.6210 7.9626 7.3011 6.6120
5-13+ 8.5500 7.8911 7.2290 6.5391
5-14 8.4794 7.8199 7.1572 6.4666
5-14+ 8.4091 7.7490 7.0857 6.3944
5-15 8.3391 7.6785 7.0146 6.3225
5-15+ 8.2694 7.6083 6.9438 6.2510
5-16 8.2001 7.5384 6.8734 6.1798
5-16+ 8.1311 7.4689 6.8032 6.1090
5-17 8.0624 7.3996 6.7334 6.0384
5-17+ 7.9940 7.3307 6.6639 5.9682
5-18 7.9259 7.2621 6.5948 5.8983
5-18+ 7.8582 7.1939 6.5259 5.8288
5-19 7.7907 7.1259 6.4574 5.7595
5-19+ 7.7236 7.0582 6.3892 5.6906
5-20 7.6568 6.9909 6.3212 5.6220
5-20+ 7.5902 6.9238 6.2536 5.5537
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 283 217 151 82
WAL 9.01972 8.80518 8.60004 8.40376
Mod Durn 4.075 4.044 4.010 3.969
Mod Convexity 0.256 0.252 0.248 0.242
Principal Window Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23
Maturity #mos 294 294 294 294
22,844,463.67 44,219,474.52 64,221,571.38 82,940,130.04
Total Collat Loss (1.93%) (3.74%) (5.44%) (7.02%)
Prepay At 100 CPR At 100 CPR At 100 CPR At 100 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 1 CDR At 0 for 24 2 CDR At 0 for 24 3 CDR At 0 for 24 4 CDR
Loss Severity 0.3 0.3 30% 30%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Shock (bp) 0 0 0 0
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS IO--PRICE/YIELD
CUSIP
Coupon 0.005
Delay 14
Stated Maturity N/A
Type SEN WAC IO
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- --------------------
100CPR YM; EXT0MO
100% 0% RULES; 0
FOR 24 5CDR,30%
PRICE ADV100% LAG12; 0BP
- ------------------------------------- --------------------
5-12+ 5.9592
5-13 5.8850
5-13+ 5.8112
5-14 5.7377
5-14+ 5.6646
5-15 5.5918
5-15+ 5.5193
5-16 5.4472
5-16+ 5.3754
5-17 5.3039
5-17+ 5.2328
5-18 5.1620
5-18+ 5.0915
5-19 5.0214
5-19+ 4.9515
5-20 4.8820
5-20+ 4.8128
- ------------------------------------- --------------------
- ------------------------------------- --------------------
Spread @ Center Price 9
WAL 8.21588
Mod Durn 3.918
Mod Convexity 0.235
Principal Window Jun99 to Nov23
Maturity #mos 294
100,457,999.14
Total Collat Loss (8.50%)
Prepay At 100 CPR
No prepays During any YM
Lockout and penalties Include penalty
Extension, if balloon None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 5 CDR
Loss Severity 30%
Servicer Advances 100% of P & I
Recovery Lag 12 mos
Optional Redemption Calls ASAP (N)
Shock (bp) 0
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
</TABLE>
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
FUNCM99C2_RED2, CLASS COLLAT--CASH FLOWS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP All tranches-full face Settle at Pricing
Coupon 7.277678 Original Balance $1,181,529,533.96 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.96 Factor Date N/A
Stated Maturity N/A Factor 1
Type Collateral
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
0CPR; Ext0mo 100% 0% rules;
Date 0CDR,0% adv100% lag0; 0bp
20-May-99 100.00
15-May-00 98.88
15-May-01 97.67
15-May-02 96.37
15-May-03 94.95
15-May-04 92.56
15-May-05 90.89
15-May-06 87.89
15-May-07 85.98
15-May-08 83.50
15-May-09 11.27
15-May-10 9.76
15-May-11 9.13
15-May-12 6.48
15-May-13 5.14
15-May-14 4.28
15-May-15 3.70
15-May-16 3.16
15-May-17 2.05
15-May-18 1.49
15-May-19 0.95
15-May-20 0.66
15-May-21 0.23
15-May-22 0.18
15-May-23 0.14
15-May-24 0.09
15-May-25 0.08
15-May-26 0.06
15-May-27 0.04
15-May-28 0.01
15-May-29 0.00
WAL 9.48647
Princ Window Jun 99-Feb 29
Prepay At 0 CPR
No prepays
Lockout and penalties Include penalty
Extension, if balloon None
Increase Coupon
Pay Exten Princ
Default At 0 CDR
Loss Severity 0%
Servicer Advances 100% of P & I
Recovery Lag 0 mos
Optional Redemption Calls ASAP (N)
Shock (bp) 0
</TABLE>
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
FUCMC BOND ANALYZER CMBS Sensitivity Analysis
-------------------------
ISSUE FUNCM 99C2
----------
TRANCHE IO YIELD CURVE
---------- ------------------------------
CUSIP 2YR 5YR 10YR 30YR
---------- ------------------------------
PRICE 5-16+ 5.079 5.212 5.320 5.701
---------- ------------------------------
SETTLE DATE 5/20/99
----------
PRICE DATE
----------
<TABLE>
<CAPTION>
10% CPR 50% CPR 100% CPR
------- ------- --------
<S> <C> <C> <C>
YIELD CHANGE (BP) FOR PREPAYMENTS AFTER LO, YM, AND PENALTIES -1 -4 -27
YIELD CHANGE (BP) FOR PREPAYMENTS DURING PENALTY PERIOD -3 -10 -36
YIELD CHANGE (BP) FOR PREPAYMENTS DURING YM (YIELD CURVE UNCH) 23 65 71
YIELD CHANGE (BP) FOR PREPAYMENTS DURING YM (YIELD CURVE -100BP) 28 76 87
YIELD CHANGE (BP) FOR PREPAYMENTS DURING YM (YIELD CURVE +100BP) 15 47 44
YIELD CHANGE (BP) FOR PREPAYMENTS DURING YM (YIELD CURVE +200BP) -47 -124 -187
</TABLE>
<TABLE>
<CAPTION>
1% CDR 2% CDR 3% CDR 4% CDR
------ ------ ------ ------
<S> <C> <C> <C> <C>
YIELD CHANGE (BP) FOR DEFAULTS ASSUMING NO PREPAYMENTS -140 -282 -426 -578
YIELD CHANGE (BP) FOR DEFAULTS ASSUMING 100 CPR DURING YM (YIELD CURVE -100 BP) -128 -261 -401 -548
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
SCENARIO PREPAY ASSUMPTN YIELD DEFAULT ASSUMPTN PREPAY WHEN ...
-------------------- ----------------- ----------------
# UNIT RATE SHOCK UNIT RATE
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
1 CPR 0.00% 0.00% CDR 0.00% After All Penalties
2 CPR 10.00% 0.00% CDR 0.00% After All Penalties
3 CPR 50.00% 0.00% CDR 0.00% After All Penalties
4 CPR 100.00% 0.00% CDR 0.00% After All Penalties
- ---------------------------------------------------------------------------------------------------------------------
5 CPR 10.00% 0.00% CDR 0.00% After Yield Maintenance
6 CPR 50.00% 0.00% CDR 0.00% After Yield Maintenance
7 CPR 100.00% 0.00% CDR 0.00% After Yield Maintenance
- ---------------------------------------------------------------------------------------------------------------------
8 CPR 10.00% 0.00% CDR 0.00% After Lock Out Periods
9 CPR 50.00% 0.00% CDR 0.00% After Lock Out Periods
10 CPR 100.00% 0.00% CDR 0.00% After Lock Out Periods
- ---------------------------------------------------------------------------------------------------------------------
11 CPR 10.00% -1.00% CDR 0.00% After Lock Out Periods
12 CPR 50.00% -1.00% CDR 0.00% After Lock Out Periods
13 CPR 100.00% -1.00% CDR 0.00% After Lock Out Periods
- ---------------------------------------------------------------------------------------------------------------------
14 CPR 10.00% 1.00% CDR 0.00% After Lock Out Periods
15 CPR 50.00% 1.00% CDR 0.00% After Lock Out Periods
16 CPR 100.00% 1.00% CDR 0.00% After Lock Out Periods
- ---------------------------------------------------------------------------------------------------------------------
17 CPR 10.00% 2.00% CDR 0.00% After Lock Out Periods
18 CPR 50.00% 2.00% CDR 0.00% After Lock Out Periods
19 CPR 100.00% 2.00% CDR 0.00% After Lock Out Periods
- ---------------------------------------------------------------------------------------------------------------------
20 CPR 0.00% 0.00% CDR 1.00% After All Penalties
21 CPR 0.00% 0.00% CDR 2.00% After All Penalties
22 CPR 0.00% 0.00% CDR 3.00% After All Penalties
23 CPR 0.00% 0.00% CDR 4.00% After All Penalties
- ---------------------------------------------------------------------------------------------------------------------
24 CPR 100.00% -1.00% CDR 1.00% After Lock Out Periods
25 CPR 100.00% -1.00% CDR 2.00% After Lock Out Periods
26 CPR 100.00% -1.00% CDR 3.00% After Lock Out Periods
27 CPR 100.00% -1.00% CDR 4.00% After Lock Out Periods
</TABLE>
(Table Continued)
<TABLE>
<CAPTION>
SCENARIO
# YIELD WAL MODDUR SPRD(BP) TSY MAT WIN BEG WIN END
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
1 9.107 9.466 4.146 376 9.47 6/15/99 3/15/19
- -----------------------------------------------------------------------------------------------------------
2 9.101 9.463 4.145 376 9.46 6/15/99 3/15/19
3 9.072 9.444 4.143 373 9.44 6/15/99 3/15/19
4 8.840 9.288 4.123 350 9.29 6/15/99 3/15/19
- -----------------------------------------------------------------------------------------------------------
5 9.076 9.444 4.136 373 9.44 6/15/99 10/15/18
6 9.007 9.398 4.120 367 9.40 6/15/99 6/15/18
7 8.750 9.227 4.092 341 9.23 6/15/99 4/15/18
- -----------------------------------------------------------------------------------------------------------
8 9.334 9.170 4.029 400 9.17 6/15/99 10/15/18
9 9.758 8.757 3.793 443 8.76 6/15/99 6/15/18
10 9.819 8.468 3.607 450 8.47 6/15/99 4/15/18
- -----------------------------------------------------------------------------------------------------------
11 9.386 9.170 4.028 405 9.17 6/15/99 10/15/18
12 9.867 8.757 3.778 454 8.76 6/15/99 6/15/18
13 9.980 8.468 3.582 466 8.47 6/15/99 4/15/18
- -----------------------------------------------------------------------------------------------------------
14 9.259 9.170 4.034 392 9.17 6/15/99 10/15/18
15 9.574 8.757 3.819 425 8.76 6/15/99 6/15/18
16 9.545 8.468 3.653 423 8.47 6/15/99 4/15/18
- -----------------------------------------------------------------------------------------------------------
17 8.638 9.170 4.101 330 9.17 6/15/99 10/15/18
18 7.868 8.757 4.065 254 8.76 6/15/99 6/15/18
19 7.239 8.468 4.055 192 8.47 6/15/99 4/15/18
- -----------------------------------------------------------------------------------------------------------
20 7.707 8.993 4.176 238 8.99 6/15/99 10/15/18
21 6.291 8.549 4.202 97 8.55 6/15/99 6/15/18
22 4.850 8.131 4.221 -46 8.13 6/15/99 12/15/17
23 3.327 7.738 4.219 -197 7.74 6/15/99 5/15/17
- -----------------------------------------------------------------------------------------------------------
24 8.698 8.068 3.608 339 8.07 6/15/99 12/15/17
25 7.367 7.690 3.635 207 7.69 6/15/99 5/15/17
26 5.972 7.333 3.654 69 7.33 6/15/99 10/15/16
27 4.501 6.995 3.663 -77 7.00 6/15/99 1/15/16
</TABLE>
THIS ANALYSIS MUST NOT BE PRINTED WITHOUT THE FOLLOWING INFORMATION:
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
FUNCM99C2_RED2, CLASS A1--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.245
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $203,500,000.00
Original Balance $203,500,000.00
Current Balance $203,500,000.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
<TABLE>
<CAPTION>
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER LO 10 CPR AFTER LO 15 CPR AFTER LO 25 CPR AFTER LO
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
<S> <C> <C> <C> <C>
100-12 6.1840 6.4431 6.5471 6.7291
100-14 6.1696 6.4263 6.5294 6.7099
100-16 6.1553 6.4095 6.5117 6.6907
100-18 6.1409 6.3927 6.4940 6.6715
100-20 6.1266 6.3760 6.4763 6.6523
100-22 6.1123 6.3592 6.4587 6.6331
100-24 6.0980 6.3425 6.4411 6.6140
100-26 6.0837 6.3258 6.4234 6.5949
100-28 6.0694 6.3091 6.4058 6.5758
100-30 6.0551 6.2925 6.3882 6.5567
101-00 6.0409 6.2758 6.3707 6.5376
101-02 6.0266 6.2592 6.3531 6.5185
101-04 6.0124 6.2425 6.3356 6.4995
101-06 5.9982 6.2259 6.3181 6.4805
101-08 5.9840 6.2093 6.3005 6.4615
101-10 5.9698 6.1928 6.2830 6.4425
101-12 5.9556 6.1762 6.2656 6.4235
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 85 112 123 142
WAL 5.39176 4.47773 4.20842 3.83284
Mod Durn 4.327 3.703 3.510 3.233
Mod Convexity 0.254 0.181 0.161 0.135
Principal Window Jun99 to Jun08 Jun99 to Feb07 Jun99 to Jul06 Jun99 to Dec05
Maturity #mos 109 93 86 79
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER LO 75 CPR AFTER LO 100 CPR AFTER LO
- ------------------------------------- -------------------- -------------------- -------------------
100-12 7.0683 7.2980 7.5977
100-14 7.0460 7.2734 7.5696
100-16 7.0238 7.2489 7.5414
100-18 7.0016 7.2245 7.5133
100-20 6.9795 7.2000 7.4852
100-22 6.9573 7.1756 7.4572
100-24 6.9352 7.1512 7.4292
100-26 6.9130 7.1268 7.4012
100-28 6.8909 7.1024 7.3732
100-30 6.8689 7.0781 7.3452
101-00 6.8468 7.0537 7.3173
101-02 6.8248 7.0294 7.2894
101-04 6.8027 7.0051 7.2615
101-06 6.7807 6.9809 7.2337
101-08 6.7588 6.9566 7.2059
101-10 6.7368 6.9324 7.1781
101-12 6.7149 6.9082 7.1503
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 176 198 227
WAL 3.25331 2.92351 2.53453
Mod Durn 2.796 2.535 2.209
Mod Convexity 0.099 0.081 0.063
Principal Window Jun99 to Mar05 Jun99 to Oct04 Jun99 to Sep04
Maturity #mos 70 65 64
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS A1--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.245
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $203,500,000.00
Original Balance $203,500,000.00
Current Balance $203,500,000.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER YM 10 CPR AFTER YM 15 CPR AFTER YM 25 CPR AFTER YM
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-12 6.1840 6.1840 6.1839 6.1839
100-14 6.1696 6.1696 6.1696 6.1695
100-16 6.1553 6.1552 6.1552 6.1551
100-18 6.1409 6.1409 6.1408 6.1408
100-20 6.1266 6.1265 6.1265 6.1264
100-22 6.1123 6.1122 6.1122 6.1121
100-24 6.0980 6.0979 6.0979 6.0978
100-26 6.0837 6.0836 6.0836 6.0835
100-28 6.0694 6.0693 6.0693 6.0692
100-30 6.0551 6.0550 6.0550 6.0549
101-00 6.0409 6.0408 6.0407 6.0406
101-02 6.0266 6.0265 6.0265 6.0264
101-04 6.0124 6.0123 6.0122 6.0121
101-06 5.9982 5.9981 5.9980 5.9979
101-08 5.9840 5.9839 5.9838 5.9837
101-10 5.9698 5.9697 5.9696 5.9695
101-12 5.9556 5.9555 5.9554 5.9553
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 85 85 85 85
WAL 5.39176 5.38918 5.38781 5.38486
Mod Durn 4.327 4.325 4.324 4.323
Mod Convexity 0.254 0.254 0.254 0.253
Principal Window Jun99 to Jun08 Jun99 to Jun08 Jun99 to Jun08 Jun99 to Jun08
Maturity #mos 109 109 109 109
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER YM 75 CPR AFTER YM 100 CPR AFTER YM
- ------------------------------------- -------------------- -------------------- -------------------
100-12 6.1838 6.1836 6.1827
100-14 6.1694 6.1692 6.1682
100-16 6.1550 6.1548 6.1537
100-18 6.1406 6.1404 6.1393
100-20 6.1262 6.1260 6.1248
100-22 6.1119 6.1116 6.1104
100-24 6.0976 6.0973 6.0959
100-26 6.0832 6.0829 6.0815
100-28 6.0689 6.0686 6.0671
100-30 6.0546 6.0543 6.0527
101-00 6.0403 6.0400 6.0383
101-02 6.0261 6.0257 6.0239
101-04 6.0118 6.0114 6.0096
101-06 5.9976 5.9972 5.9952
101-08 5.9833 5.9829 5.9809
101-10 5.9691 5.9687 5.9666
101-12 5.9549 5.9545 5.9523
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 85 85 85
WAL 5.37753 5.36871 5.33018
Mod Durn 4.318 4.313 4.288
Mod Convexity 0.253 0.252 0.249
Principal Window Jun99 to May08 Jun99 to Apr08 Jun99 to Feb08
Maturity #mos 108 107 105
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS A2--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.522
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER LO 10 CPR AFTER LO 15 CPR AFTER LO 25 CPR AFTER LO
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
101-00 6.4316 6.4347 6.4369 6.4380
101-02 6.4227 6.4258 6.4279 6.4289
101-04 6.4138 6.4168 6.4189 6.4199
101-06 6.4049 6.4079 6.4100 6.4108
101-08 6.3961 6.3990 6.4010 6.4018
101-10 6.3872 6.3901 6.3920 6.3928
101-12 6.3784 6.3812 6.3831 6.3838
101-14 6.3695 6.3723 6.3742 6.3748
101-16 6.3607 6.3634 6.3652 6.3658
101-18 6.3519 6.3545 6.3563 6.3568
101-20 6.3431 6.3456 6.3474 6.3478
101-22 6.3342 6.3367 6.3385 6.3388
101-24 6.3254 6.3279 6.3296 6.3299
101-26 6.3166 6.3190 6.3207 6.3209
101-28 6.3078 6.3102 6.3118 6.3119
101-30 6.2991 6.3013 6.3029 6.3030
102-00 6.2903 6.2925 6.2940 6.2940
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 105 105 106 106
WAL 9.58679 9.50324 9.45038 9.36067
Mod Durn 6.949 6.904 6.874 6.823
Mod Convexity 0.583 0.575 0.570 0.562
Principal Window Jun08 to Apr09 Feb07 to Apr09 Jul06 to Apr09 Dec05 to Apr09
Maturity #mos 119 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER LO 75 CPR AFTER LO 100 CPR AFTER LO
- ------------------------------------- -------------------- -------------------- -------------------
101-00 6.4338 6.4296 6.4262
101-02 6.4247 6.4204 6.4169
101-04 6.4156 6.4112 6.4076
101-06 6.4064 6.4021 6.3984
101-08 6.3973 6.3929 6.3891
101-10 6.3882 6.3838 6.3798
101-12 6.3791 6.3747 6.3706
101-14 6.3700 6.3656 6.3613
101-16 6.3610 6.3564 6.3521
101-18 6.3519 6.3473 6.3429
101-20 6.3428 6.3382 6.3337
101-22 6.3338 6.3291 6.3244
101-24 6.3247 6.3201 6.3152
101-26 6.3157 6.3110 6.3060
101-28 6.3066 6.3019 6.2968
101-30 6.2976 6.2928 6.2877
102-00 6.2886 6.2838 6.2785
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 106 105 105
WAL 9.25383 9.20838 9.04353
Mod Durn 6.761 6.735 6.647
Mod Convexity 0.552 0.548 0.532
Principal Window Mar05 to Mar09 Oct04 to Mar09 Sep04 to Jan09
Maturity #mos 118 118 116
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS A2--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.522
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER YM 10 CPR AFTER YM 15 CPR AFTER YM 25 CPR AFTER YM
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
101-00 6.4316 6.4315 6.4315 6.4314
101-02 6.4227 6.4226 6.4226 6.4225
101-04 6.4138 6.4137 6.4137 6.4136
101-06 6.4049 6.4049 6.4048 6.4047
101-08 6.3961 6.3960 6.3960 6.3959
101-10 6.3872 6.3871 6.3871 6.3870
101-12 6.3784 6.3783 6.3782 6.3781
101-14 6.3695 6.3694 6.3694 6.3693
101-16 6.3607 6.3606 6.3606 6.3604
101-18 6.3519 6.3518 6.3517 6.3516
101-20 6.3431 6.3430 6.3429 6.3428
101-22 6.3342 6.3341 6.3341 6.3340
101-24 6.3254 6.3253 6.3253 6.3251
101-26 6.3166 6.3165 6.3165 6.3163
101-28 6.3078 6.3077 6.3077 6.3075
101-30 6.2991 6.2989 6.2989 6.2987
102-00 6.2903 6.2902 6.2901 6.2899
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 105 105 105 105
WAL 9.58679 9.58134 9.57846 9.57229
Mod Durn 6.949 6.946 6.945 6.942
Mod Convexity 0.583 0.582 0.582 0.581
Principal Window Jun08 to Apr09 Jun08 to Apr09 Jun08 to Apr09 Jun08 to Apr09
Maturity #mos 119 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER YM 75 CPR AFTER YM 100 CPR AFTER YM
- ------------------------------------- -------------------- -------------------- -------------------
101-00 6.4311 6.4308 6.4282
101-02 6.4222 6.4218 6.4192
101-04 6.4133 6.4129 6.4101
101-06 6.4044 6.4040 6.4011
101-08 6.3956 6.3951 6.3921
101-10 6.3867 6.3862 6.3830
101-12 6.3778 6.3773 6.3740
101-14 6.3690 6.3684 6.3650
101-16 6.3601 6.3596 6.3560
101-18 6.3512 6.3507 6.3470
101-20 6.3424 6.3418 6.3380
101-22 6.3336 6.3330 6.3290
101-24 6.3247 6.3241 6.3201
101-26 6.3159 6.3153 6.3111
101-28 6.3071 6.3064 6.3021
101-30 6.2983 6.2976 6.2932
102-00 6.2895 6.2888 6.2842
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 105 105 105
WAL 9.55321 9.52425 9.34190
Mod Durn 6.932 6.916 6.820
Mod Convexity 0.579 0.577 0.559
Principal Window May08 to Apr09 Apr08 to Apr09 Feb08 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS B--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.652
Delay 14
Stated Maturity N/A
Type JUN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $47,261,182.00
Original Balance $47,261,182.00
Current Balance $47,261,182.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER LO 10 CPR AFTER LO 15 CPR AFTER LO 25 CPR AFTER LO
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
101-00 6.5675 6.5679 6.5679 6.5678
101-02 6.5588 6.5591 6.5591 6.5591
101-04 6.5501 6.5504 6.5504 6.5503
101-06 6.5414 6.5417 6.5417 6.5416
101-08 6.5326 6.5330 6.5330 6.5329
101-10 6.5239 6.5243 6.5243 6.5242
101-12 6.5152 6.5156 6.5156 6.5155
101-14 6.5066 6.5069 6.5069 6.5068
101-16 6.4979 6.4982 6.4982 6.4981
101-18 6.4892 6.4895 6.4895 6.4895
101-20 6.4805 6.4809 6.4809 6.4808
101-22 6.4719 6.4722 6.4722 6.4721
101-24 6.4632 6.4635 6.4636 6.4635
101-26 6.4546 6.4549 6.4549 6.4548
101-28 6.4459 6.4463 6.4463 6.4462
101-30 6.4373 6.4376 6.4376 6.4375
102-00 6.4286 6.4290 6.4290 6.4289
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 118 118 118 118
WAL 9.90278 9.90278 9.90278 9.90278
Mod Durn 7.070 7.070 7.070 7.070
Mod Convexity 0.608 0.608 0.608 0.608
Principal Window Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 119 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER LO 75 CPR AFTER LO 100 CPR AFTER LO
- ------------------------------------- -------------------- -------------------- -------------------
101-00 6.5675 6.5669 6.5652
101-02 6.5587 6.5581 6.5563
101-04 6.5500 6.5494 6.5475
101-06 6.5413 6.5406 6.5386
101-08 6.5326 6.5319 6.5298
101-10 6.5239 6.5232 6.5210
101-12 6.5152 6.5144 6.5122
101-14 6.5065 6.5057 6.5034
101-16 6.4978 6.4970 6.4946
101-18 6.4891 6.4883 6.4858
101-20 6.4804 6.4796 6.4770
101-22 6.4717 6.4709 6.4682
101-24 6.4631 6.4622 6.4595
101-26 6.4544 6.4535 6.4507
101-28 6.4458 6.4448 6.4419
101-30 6.4371 6.4362 6.4332
102-00 6.4285 6.4275 6.4244
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 118 118 118
WAL 9.89119 9.85043 9.72057
Mod Durn 7.064 7.043 6.977
Mod Convexity 0.607 0.603 0.590
Principal Window Mar09 to Apr09 Mar09 to Apr09 Jan09 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS B--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.652
Delay 14
Stated Maturity N/A
Type JUN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $47,261,182.00
Original Balance $47,261,182.00
Current Balance $47,261,182.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER YM 10 CPR AFTER YM 15 CPR AFTER YM 25 CPR AFTER YM
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
101-00 6.5675 6.5675 6.5675 6.5675
101-02 6.5588 6.5588 6.5588 6.5588
101-04 6.5501 6.5501 6.5501 6.5501
101-06 6.5414 6.5414 6.5414 6.5414
101-08 6.5326 6.5326 6.5326 6.5326
101-10 6.5239 6.5239 6.5239 6.5239
101-12 6.5152 6.5152 6.5152 6.5152
101-14 6.5066 6.5066 6.5066 6.5066
101-16 6.4979 6.4979 6.4979 6.4979
101-18 6.4892 6.4892 6.4892 6.4892
101-20 6.4805 6.4805 6.4805 6.4805
101-22 6.4719 6.4719 6.4719 6.4719
101-24 6.4632 6.4632 6.4632 6.4632
101-26 6.4546 6.4546 6.4546 6.4546
101-28 6.4459 6.4459 6.4459 6.4459
101-30 6.4373 6.4373 6.4373 6.4373
102-00 6.4286 6.4287 6.4287 6.4287
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 118 118 118 118
WAL 9.90278 9.90278 9.90278 9.90278
Mod Durn 7.070 7.070 7.070 7.070
Mod Convexity 0.608 0.608 0.608 0.608
Principal Window Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 119 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER YM 75 CPR AFTER YM 100 CPR AFTER YM
- ------------------------------------- -------------------- -------------------- -------------------
101-00 6.5675 6.5675 6.5654
101-02 6.5588 6.5588 6.5565
101-04 6.5501 6.5501 6.5477
101-06 6.5414 6.5414 6.5389
101-08 6.5327 6.5327 6.5301
101-10 6.5239 6.5240 6.5213
101-12 6.5153 6.5153 6.5125
101-14 6.5066 6.5066 6.5037
101-16 6.4979 6.4979 6.4949
101-18 6.4892 6.4892 6.4861
101-20 6.4805 6.4805 6.4773
101-22 6.4719 6.4719 6.4685
101-24 6.4632 6.4632 6.4598
101-26 6.4546 6.4546 6.4510
101-28 6.4459 6.4459 6.4423
101-30 6.4373 6.4373 6.4335
102-00 6.4287 6.4287 6.4248
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 118 118 118
WAL 9.90278 9.90278 9.73611
Mod Durn 7.070 7.070 6.985
Mod Convexity 0.608 0.608 0.592
Principal Window Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS C--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.8
Delay 14
Stated Maturity N/A
Type JUN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $62,030,300.00
Original Balance $62,030,300.00
Current Balance $62,030,300.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER LO 10 CPR AFTER LO 15 CPR AFTER LO 25 CPR AFTER LO
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
101-00 6.7177 6.7180 6.7180 6.7179
101-02 6.7089 6.7092 6.7092 6.7091
101-04 6.7001 6.7004 6.7004 6.7004
101-06 6.6913 6.6917 6.6917 6.6916
101-08 6.6825 6.6829 6.6829 6.6828
101-10 6.6738 6.6741 6.6741 6.6740
101-12 6.6650 6.6654 6.6654 6.6653
101-14 6.6563 6.6566 6.6566 6.6565
101-16 6.6475 6.6479 6.6479 6.6478
101-18 6.6388 6.6391 6.6391 6.6390
101-20 6.6301 6.6304 6.6304 6.6303
101-22 6.6213 6.6217 6.6217 6.6216
101-24 6.6126 6.6130 6.6130 6.6129
101-26 6.6039 6.6043 6.6043 6.6042
101-28 6.5952 6.5955 6.5956 6.5955
101-30 6.5865 6.5869 6.5869 6.5868
102-00 6.5778 6.5782 6.5782 6.5781
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 133 133 133 133
WAL 9.90523 9.90278 9.90278 9.90278
Mod Durn 7.021 7.020 7.020 7.020
Mod Convexity 0.602 0.602 0.602 0.602
Principal Window Apr09 to May09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 120 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER LO 75 CPR AFTER LO 100 CPR AFTER LO
- ------------------------------------- -------------------- -------------------- -------------------
101-00 6.7177 6.7177 6.7155
101-02 6.7090 6.7089 6.7066
101-04 6.7002 6.7001 6.6977
101-06 6.6914 6.6913 6.6888
101-08 6.6826 6.6826 6.6799
101-10 6.6739 6.6738 6.6711
101-12 6.6651 6.6650 6.6622
101-14 6.6563 6.6563 6.6533
101-16 6.6476 6.6475 6.6445
101-18 6.6389 6.6388 6.6356
101-20 6.6301 6.6301 6.6268
101-22 6.6214 6.6213 6.6180
101-24 6.6127 6.6126 6.6092
101-26 6.6040 6.6039 6.6003
101-28 6.5953 6.5952 6.5915
101-30 6.5866 6.5865 6.5827
102-00 6.5779 6.5778 6.5739
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 133 133 133
WAL 9.90278 9.90278 9.73611
Mod Durn 7.020 7.020 6.936
Mod Convexity 0.602 0.602 0.586
Principal Window Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS C--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.8
Delay 14
Stated Maturity N/A
Type JUN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $62,030,300.00
Original Balance $62,030,300.00
Current Balance $62,030,300.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER YM 10 CPR AFTER YM 15 CPR AFTER YM 25 CPR AFTER YM
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
101-00 6.7177 6.7176 6.7176 6.7176
101-02 6.7089 6.7088 6.7088 6.7089
101-04 6.7001 6.7001 6.7001 6.7001
101-06 6.6913 6.6913 6.6913 6.6913
101-08 6.6825 6.6825 6.6825 6.6825
101-10 6.6738 6.6737 6.6737 6.6738
101-12 6.6650 6.6650 6.6650 6.6650
101-14 6.6563 6.6562 6.6562 6.6562
101-16 6.6475 6.6475 6.6475 6.6475
101-18 6.6388 6.6388 6.6388 6.6388
101-20 6.6301 6.6300 6.6300 6.6300
101-22 6.6213 6.6213 6.6213 6.6213
101-24 6.6126 6.6126 6.6126 6.6126
101-26 6.6039 6.6039 6.6039 6.6039
101-28 6.5952 6.5952 6.5952 6.5952
101-30 6.5865 6.5865 6.5865 6.5865
102-00 6.5778 6.5778 6.5778 6.5778
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 133 133 133 133
WAL 9.90523 9.90284 9.90278 9.90278
Mod Durn 7.021 7.020 7.020 7.020
Mod Convexity 0.602 0.602 0.602 0.602
Principal Window Apr09 to May09 Apr09 to May09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 120 120 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER YM 75 CPR AFTER YM 100 CPR AFTER YM
- ------------------------------------- -------------------- -------------------- -------------------
101-00 6.7177 6.7177 6.7155
101-02 6.7089 6.7089 6.7066
101-04 6.7001 6.7001 6.6977
101-06 6.6913 6.6913 6.6888
101-08 6.6825 6.6825 6.6799
101-10 6.6738 6.6738 6.6711
101-12 6.6650 6.6650 6.6622
101-14 6.6562 6.6563 6.6533
101-16 6.6475 6.6475 6.6445
101-18 6.6388 6.6388 6.6356
101-20 6.6300 6.6300 6.6268
101-22 6.6213 6.6213 6.6180
101-24 6.6126 6.6126 6.6092
101-26 6.6039 6.6039 6.6003
101-28 6.5952 6.5952 6.5915
101-30 6.5865 6.5865 6.5827
102-00 6.5778 6.5778 6.5739
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 133 133 133
WAL 9.90278 9.90278 9.73611
Mod Durn 7.020 7.020 6.936
Mod Convexity 0.602 0.602 0.586
Principal Window Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS D--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.949
Delay 14
Stated Maturity N/A
Type JUN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $14,769,120.00
Original Balance $14,769,120.00
Current Balance $14,769,120.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER LO 10 CPR AFTER LO 15 CPR AFTER LO 25 CPR AFTER LO
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
101-00 6.8699 6.8693 6.8693 6.8692
101-02 6.8611 6.8604 6.8604 6.8603
101-04 6.8523 6.8515 6.8516 6.8515
101-06 6.8435 6.8427 6.8427 6.8426
101-08 6.8347 6.8339 6.8339 6.8338
101-10 6.8260 6.8250 6.8251 6.8250
101-12 6.8172 6.8162 6.8162 6.8161
101-14 6.8084 6.8074 6.8074 6.8073
101-16 6.7997 6.7986 6.7986 6.7985
101-18 6.7909 6.7898 6.7898 6.7897
101-20 6.7822 6.7810 6.7810 6.7809
101-22 6.7734 6.7722 6.7722 6.7721
101-24 6.7647 6.7635 6.7635 6.7634
101-26 6.7560 6.7547 6.7547 6.7546
101-28 6.7473 6.7459 6.7459 6.7458
101-30 6.7386 6.7372 6.7372 6.7371
102-00 6.7299 6.7284 6.7284 6.7283
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 148 148 148 148
WAL 9.98611 9.90278 9.90278 9.90278
Mod Durn 7.011 6.970 6.970 6.970
Mod Convexity 0.603 0.595 0.595 0.595
Principal Window May09 to May09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 120 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER LO 75 CPR AFTER LO 100 CPR AFTER LO
- ------------------------------------- -------------------- -------------------- -------------------
101-00 6.8690 6.8689 6.8667
101-02 6.8601 6.8600 6.8577
101-04 6.8513 6.8512 6.8488
101-06 6.8424 6.8423 6.8398
101-08 6.8336 6.8335 6.8309
101-10 6.8248 6.8247 6.8219
101-12 6.8159 6.8159 6.8130
101-14 6.8071 6.8071 6.8041
101-16 6.7983 6.7983 6.7952
101-18 6.7895 6.7895 6.7863
101-20 6.7807 6.7807 6.7774
101-22 6.7719 6.7719 6.7685
101-24 6.7632 6.7631 6.7596
101-26 6.7544 6.7543 6.7507
101-28 6.7456 6.7456 6.7419
101-30 6.7369 6.7368 6.7330
102-00 6.7281 6.7281 6.7242
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 148 148 148
WAL 9.90278 9.90278 9.73611
Mod Durn 6.970 6.970 6.888
Mod Convexity 0.595 0.595 0.580
Principal Window Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS D--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.949
Delay 14
Stated Maturity N/A
Type JUN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $14,769,120.00
Original Balance $14,769,120.00
Current Balance $14,769,120.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER YM 10 CPR AFTER YM 15 CPR AFTER YM 25 CPR AFTER YM
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
101-00 6.8699 6.8699 6.8698 6.8697
101-02 6.8611 6.8611 6.8610 6.8609
101-04 6.8523 6.8523 6.8522 6.8521
101-06 6.8435 6.8435 6.8434 6.8433
101-08 6.8347 6.8347 6.8347 6.8345
101-10 6.8260 6.8260 6.8259 6.8257
101-12 6.8172 6.8172 6.8171 6.8169
101-14 6.8084 6.8084 6.8083 6.8082
101-16 6.7997 6.7997 6.7996 6.7994
101-18 6.7909 6.7909 6.7908 6.7906
101-20 6.7822 6.7822 6.7821 6.7819
101-22 6.7734 6.7735 6.7734 6.7731
101-24 6.7647 6.7647 6.7646 6.7644
101-26 6.7560 6.7560 6.7559 6.7557
101-28 6.7473 6.7473 6.7472 6.7470
101-30 6.7386 6.7386 6.7385 6.7382
102-00 6.7299 6.7299 6.7298 6.7295
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 148 148 148 148
WAL 9.98611 9.98611 9.98105 9.96976
Mod Durn 7.011 7.011 7.009 7.003
Mod Convexity 0.603 0.603 0.603 0.602
Principal Window May09 to May09 May09 to May09 Apr09 to May09 Apr09 to May09
Maturity #mos 120 120 120 120
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER YM 75 CPR AFTER YM 100 CPR AFTER YM
- ------------------------------------- -------------------- -------------------- -------------------
101-00 6.8693 6.8689 6.8667
101-02 6.8605 6.8600 6.8577
101-04 6.8516 6.8512 6.8488
101-06 6.8428 6.8423 6.8398
101-08 6.8340 6.8335 6.8309
101-10 6.8252 6.8247 6.8219
101-12 6.8164 6.8158 6.8130
101-14 6.8076 6.8070 6.8041
101-16 6.7988 6.7982 6.7952
101-18 6.7900 6.7894 6.7863
101-20 6.7813 6.7806 6.7774
101-22 6.7725 6.7718 6.7685
101-24 6.7637 6.7631 6.7596
101-26 6.7550 6.7543 6.7507
101-28 6.7462 6.7455 6.7419
101-30 6.7375 6.7368 6.7330
102-00 6.7288 6.7280 6.7242
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 148 148 148
WAL 9.93605 9.90278 9.73611
Mod Durn 6.987 6.970 6.888
Mod Convexity 0.599 0.595 0.580
Principal Window Apr09 to May09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 120 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS E--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- -------------------------------------------------------
- -------------------------------------------------------
Face $41,353,533.00
Original Balance $41,353,533.00
Current Balance $41,353,533.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER LO 10 CPR AFTER LO 15 CPR AFTER LO 25 CPR AFTER LO
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-12+ 7.2921 7.2923 7.2918 7.2906
100-14+ 7.2831 7.2833 7.2827 7.2816
100-16+ 7.2741 7.2743 7.2737 7.2726
100-18+ 7.2651 7.2653 7.2647 7.2636
100-20+ 7.2561 7.2563 7.2557 7.2545
100-22+ 7.2471 7.2473 7.2467 7.2455
100-24+ 7.2382 7.2383 7.2377 7.2365
100-26+ 7.2292 7.2293 7.2288 7.2276
100-28+ 7.2202 7.2204 7.2198 7.2186
100-30+ 7.2113 7.2114 7.2108 7.2096
101-00+ 7.2023 7.2025 7.2018 7.2006
101-02+ 7.1934 7.1935 7.1929 7.1917
101-04+ 7.1845 7.1846 7.1840 7.1827
101-06+ 7.1755 7.1756 7.1750 7.1738
101-08+ 7.1666 7.1667 7.1661 7.1648
101-10+ 7.1577 7.1578 7.1572 7.1559
101-12+ 7.1488 7.1489 7.1482 7.1469
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 190 190 190 190
WAL 9.98611 9.97482 9.96140 9.94457
Mod Durn 6.890 6.885 6.879 6.871
Mod Convexity 0.588 0.587 0.586 0.584
Principal Window May09 to May09 Apr09 to May09 Apr09 to May09 Apr09 to May09
Maturity #mos 120 120 120 120
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER LO 75 CPR AFTER LO 100 CPR AFTER LO
- ------------------------------------- -------------------- -------------------- -------------------
100-12+ 7.2889 7.2883 7.2859
100-14+ 7.2799 7.2793 7.2768
100-16+ 7.2708 7.2702 7.2676
100-18+ 7.2618 7.2612 7.2585
100-20+ 7.2528 7.2521 7.2493
100-22+ 7.2438 7.2431 7.2402
100-24+ 7.2348 7.2341 7.2310
100-26+ 7.2257 7.2251 7.2219
100-28+ 7.2168 7.2161 7.2128
100-30+ 7.2078 7.2071 7.2037
101-00+ 7.1988 7.1981 7.1946
101-02+ 7.1898 7.1891 7.1855
101-04+ 7.1808 7.1801 7.1764
101-06+ 7.1719 7.1711 7.1673
101-08+ 7.1629 7.1622 7.1583
101-10+ 7.1540 7.1532 7.1492
101-12+ 7.1450 7.1443 7.1401
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 190 190 190
WAL 9.92498 9.90743 9.73611
Mod Durn 6.862 6.854 6.773
Mod Convexity 0.583 0.581 0.565
Principal Window Apr09 to May09 Apr09 to May09 Feb09 to Feb09
Maturity #mos 120 120 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS E--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- -------------------------------------------------------
- -------------------------------------------------------
Face $41,353,533.00
Original Balance $41,353,533.00
Current Balance $41,353,533.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER YM 10 CPR AFTER YM 15 CPR AFTER YM 25 CPR AFTER YM
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-12+ 7.2921 7.2921 7.2922 7.2922
100-14+ 7.2831 7.2831 7.2832 7.2832
100-16+ 7.2741 7.2741 7.2742 7.2742
100-18+ 7.2651 7.2651 7.2652 7.2652
100-20+ 7.2561 7.2562 7.2562 7.2562
100-22+ 7.2471 7.2472 7.2472 7.2472
100-24+ 7.2382 7.2382 7.2382 7.2382
100-26+ 7.2292 7.2292 7.2292 7.2293
100-28+ 7.2202 7.2203 7.2203 7.2203
100-30+ 7.2113 7.2113 7.2113 7.2114
101-00+ 7.2023 7.2024 7.2024 7.2024
101-02+ 7.1934 7.1934 7.1934 7.1935
101-04+ 7.1845 7.1845 7.1845 7.1846
101-06+ 7.1755 7.1756 7.1756 7.1756
101-08+ 7.1666 7.1667 7.1667 7.1667
101-10+ 7.1577 7.1578 7.1578 7.1578
101-12+ 7.1488 7.1488 7.1489 7.1489
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 190 190 190 190
WAL 9.98611 9.98611 9.98611 9.98611
Mod Durn 6.890 6.890 6.890 6.890
Mod Convexity 0.588 0.588 0.588 0.588
Principal Window May09 to May09 May09 to May09 May09 to May09 May09 to May09
Maturity #mos 120 120 120 120
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER YM 75 CPR AFTER YM 100 CPR AFTER YM
- ------------------------------------- -------------------- -------------------- -------------------
100-12+ 7.2923 7.2925 7.2919
100-14+ 7.2833 7.2835 7.2827
100-16+ 7.2743 7.2745 7.2736
100-18+ 7.2653 7.2655 7.2644
100-20+ 7.2563 7.2565 7.2553
100-22+ 7.2473 7.2475 7.2462
100-24+ 7.2384 7.2385 7.2371
100-26+ 7.2294 7.2295 7.2279
100-28+ 7.2204 7.2206 7.2188
100-30+ 7.2115 7.2116 7.2097
101-00+ 7.2025 7.2027 7.2006
101-02+ 7.1936 7.1937 7.1915
101-04+ 7.1847 7.1848 7.1825
101-06+ 7.1757 7.1759 7.1734
101-08+ 7.1668 7.1670 7.1643
101-10+ 7.1579 7.1580 7.1553
101-12+ 7.1490 7.1491 7.1462
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 190 190 190
WAL 9.98611 9.98045 9.74746
Mod Durn 6.890 6.888 6.777
Mod Convexity 0.588 0.587 0.566
Principal Window May09 to May09 Apr09 to May09 Feb09 to Mar09
Maturity #mos 120 120 118
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS F--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- -------------------------------------------------------
- -------------------------------------------------------
Face $17,722,943.00
Original Balance $17,722,943.00
Current Balance $17,722,943.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER LO 10 CPR AFTER LO 15 CPR AFTER LO 25 CPR AFTER LO
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
95-08 8.0491 8.0595 8.0591 8.0580
95-10 8.0396 8.0499 8.0494 8.0484
95-12 8.0301 8.0402 8.0398 8.0388
95-14 8.0206 8.0306 8.0302 8.0291
95-16 8.0111 8.0210 8.0205 8.0195
95-18 8.0016 8.0113 8.0109 8.0099
95-20 7.9921 8.0017 8.0013 8.0003
95-22 7.9826 7.9921 7.9917 7.9907
95-24 7.9732 7.9825 7.9821 7.9811
95-26 7.9637 7.9730 7.9726 7.9715
95-28 7.9543 7.9634 7.9630 7.9619
95-30 7.9448 7.9538 7.9534 7.9524
96-00 7.9354 7.9443 7.9439 7.9428
96-02 7.9260 7.9347 7.9343 7.9333
96-04 7.9166 7.9252 7.9248 7.9237
96-06 7.9072 7.9156 7.9152 7.9142
96-08 7.8978 7.9061 7.9057 7.9047
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 265 266 266 266
WAL 10.19134 9.98611 9.98611 9.98611
Mod Durn 6.873 6.781 6.781 6.781
Mod Convexity 0.592 0.574 0.574 0.574
Principal Window May09 to Sep09 May09 to May09 May09 to May09 May09 to May09
Maturity #mos 124 120 120 120
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER LO 75 CPR AFTER LO 100 CPR AFTER LO
- ------------------------------------- -------------------- -------------------- -------------------
95-08 8.0562 8.0555 8.0663
95-10 8.0466 8.0459 8.0565
95-12 8.0369 8.0362 8.0467
95-14 8.0273 8.0266 8.0369
95-16 8.0177 8.0170 8.0271
95-18 8.0081 8.0073 8.0173
95-20 7.9984 7.9977 8.0075
95-22 7.9888 7.9881 7.9978
95-24 7.9793 7.9786 7.9880
95-26 7.9697 7.9690 7.9783
95-28 7.9601 7.9594 7.9685
95-30 7.9505 7.9498 7.9588
96-00 7.9410 7.9403 7.9491
96-02 7.9314 7.9307 7.9394
96-04 7.9219 7.9212 7.9296
96-06 7.9124 7.9116 7.9199
96-08 7.9028 7.9021 7.9103
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 266 266 267
WAL 9.98611 9.98611 9.73611
Mod Durn 6.781 6.782 6.666
Mod Convexity 0.574 0.574 0.552
Principal Window May09 to May09 May09 to May09 Feb09 to Feb09
Maturity #mos 120 120 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS F--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- -------------------------------------------------------
- -------------------------------------------------------
Face $17,722,943.00
Original Balance $17,722,943.00
Current Balance $17,722,943.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
PRICE 0 CPR AFTER YM 10 CPR AFTER YM 15 CPR AFTER YM 25 CPR AFTER YM
Yield
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
95-08 8.0491 8.0494 8.0496 8.0499
95-10 8.0396 8.0399 8.0401 8.0404
95-12 8.0301 8.0304 8.0305 8.0309
95-14 8.0206 8.0209 8.0210 8.0213
95-16 8.0111 8.0114 8.0115 8.0118
95-18 8.0016 8.0019 8.0020 8.0023
95-20 7.9921 7.9924 7.9926 7.9929
95-22 7.9826 7.9829 7.9831 7.9834
95-24 7.9732 7.9735 7.9736 7.9739
95-26 7.9637 7.9640 7.9642 7.9644
95-28 7.9543 7.9546 7.9547 7.9550
95-30 7.9448 7.9451 7.9453 7.9456
96-00 7.9354 7.9357 7.9358 7.9361
96-02 7.9260 7.9263 7.9264 7.9267
96-04 7.9166 7.9168 7.9170 7.9173
96-06 7.9072 7.9074 7.9076 7.9078
96-08 7.8978 7.8980 7.8982 7.8984
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
Spread @ Center Price 265 265 265 265
WAL 10.19134 10.18652 10.18415 10.17946
Mod Durn 6.873 6.871 6.870 6.868
Mod Convexity 0.592 0.592 0.592 0.591
Principal Window May09 to Sep09 May09 to Sep09 May09 to Sep09 May09 to Sep09
Maturity #mos 124 124 124 124
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER YM 75 CPR AFTER YM 100 CPR AFTER YM
- ------------------------------------- -------------------- -------------------- -------------------
95-08 8.0506 8.0513 8.0579
95-10 8.0411 8.0418 8.0483
95-12 8.0316 8.0323 8.0387
95-14 8.0221 8.0227 8.0292
95-16 8.0126 8.0132 8.0196
95-18 8.0031 8.0037 8.0100
95-20 7.9936 7.9942 8.0005
95-22 7.9841 7.9847 7.9910
95-24 7.9746 7.9752 7.9814
95-26 7.9651 7.9658 7.9719
95-28 7.9557 7.9563 7.9624
95-30 7.9462 7.9468 7.9529
96-00 7.9368 7.9374 7.9434
96-02 7.9273 7.9279 7.9339
96-04 7.9179 7.9185 7.9244
96-06 7.9085 7.9091 7.9150
96-08 7.8991 7.8997 7.9055
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 265 265 266
WAL 10.16812 10.15719 10.08610
Mod Durn 6.863 6.858 6.825
Mod Convexity 0.590 0.589 0.583
Principal Window May09 to Sep09 May09 to Sep09 Mar09 to Sep09
Maturity #mos 124 124 124
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS IO--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 0.005
Delay 14
Stated Maturity N/A
Type SEN WAC IO
- -------------------------------------------------------
- -------------------------------------------------------
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER LO 10 CPR AFTER LO 15 CPR AFTER LO 25 CPR AFTER LO
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
5-00+ 11.4625 11.7539 11.8631 12.0435
5-02+ 11.1497 11.4319 11.5375 11.7115
5-04+ 10.8433 11.1165 11.2184 11.3864
5-06+ 10.5431 10.8073 10.9056 11.0677
5-08+ 10.2487 10.5043 10.5991 10.7553
5-10+ 9.9601 10.2071 10.2984 10.4490
5-12+ 9.6771 9.9157 10.0036 10.1486
5-14+ 9.3994 9.6297 9.7143 9.8539
5-16+ 9.1269 9.3491 9.4304 9.5647
5-18+ 8.8594 9.0736 9.1518 9.2808
5-20+ 8.5968 8.8032 8.8782 9.0021
5-22+ 8.3390 8.5376 8.6095 8.7285
5-24+ 8.0857 8.2767 8.3456 8.4597
5-26+ 7.8369 8.0203 8.0863 8.1956
5-28+ 7.5924 7.7684 7.8315 7.9361
5-30+ 7.3521 7.5208 7.5811 7.6810
6-00+ 7.1159 7.2774 7.3348 7.4303
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 382 405 413 427
WAL 9.48647 9.18565 9.08767 8.95024
Mod Durn 4.158 4.037 3.991 3.917
Mod Convexity 0.269 0.252 0.246 0.238
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357 357
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER LO 75 CPR AFTER LO 100 CPR AFTER LO
- ------------------------------------- -------------------- -------------------- -------------------
5-00+ 12.3312 12.4875 12.5341
5-02+ 11.9884 12.1373 12.1719
5-04+ 11.6527 11.7943 11.8174
5-06+ 11.3237 11.4583 11.4702
5-08+ 11.0013 11.1291 11.1303
5-10+ 10.6852 10.8064 10.7973
5-12+ 10.3753 10.4901 10.4709
5-14+ 10.0713 10.1799 10.1510
5-16+ 9.7730 9.8757 9.8374
5-18+ 9.4804 9.5772 9.5298
5-20+ 9.1931 9.2842 9.2280
5-22+ 8.9110 8.9966 8.9319
5-24+ 8.6340 8.7143 8.6413
5-26+ 8.3619 8.4370 8.3561
5-28+ 8.0946 8.1647 8.0760
5-30+ 7.8320 7.8971 7.8009
6-00+ 7.5738 7.6341 7.5306
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 448 458 455
WAL 8.77285 8.68242 8.48529
Mod Durn 3.799 3.724 3.614
Mod Convexity 0.226 0.219 0.211
Principal Window Jun99 to Dec26 Jun99 to Nov23 Jun99 to Sep23
Maturity #mos 331 294 292
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS IO--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 0.005
Delay 14
Stated Maturity N/A
Type SEN WAC IO
- -------------------------------------------------------
- -------------------------------------------------------
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0 CPR AFTER YM 10 CPR AFTER YM 15 CPR AFTER YM 25 CPR AFTER YM
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
5-00+ 11.4625 11.4342 11.4238 11.4067
5-02+ 11.1497 11.1207 11.1100 11.0926
5-04+ 10.8433 10.8134 10.8025 10.7848
5-06+ 10.5431 10.5124 10.5012 10.4831
5-08+ 10.2487 10.2172 10.2058 10.1873
5-10+ 9.9601 9.9278 9.9161 9.8973
5-12+ 9.6771 9.6439 9.6320 9.6128
5-14+ 9.3994 9.3654 9.3532 9.3337
5-16+ 9.1269 9.0920 9.0796 9.0597
5-18+ 8.8594 8.8237 8.8110 8.7908
5-20+ 8.5968 8.5603 8.5473 8.5267
5-22+ 8.3390 8.3015 8.2883 8.2674
5-24+ 8.0857 8.0474 8.0339 8.0126
5-26+ 7.8369 7.7977 7.7840 7.7623
5-28+ 7.5924 7.5523 7.5383 7.5163
5-30+ 7.3521 7.3111 7.2968 7.2745
6-00+ 7.1159 7.0740 7.0594 7.0367
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 382 378 377 375
WAL 9.48647 9.46021 9.45149 9.43813
Mod Durn 4.158 4.145 4.141 4.135
Mod Convexity 0.269 0.266 0.265 0.264
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357 357
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50 CPR AFTER YM 75 CPR AFTER YM 100 CPR AFTER YM
- ------------------------------------- -------------------- -------------------- -------------------
5-00+ 11.3726 11.3363 11.1335
5-02+ 11.0580 11.0212 10.8168
5-04+ 10.7496 10.7125 10.5064
5-06+ 10.4475 10.4099 10.2023
5-08+ 10.1512 10.1132 9.9040
5-10+ 9.8606 9.8223 9.6116
5-12+ 9.5756 9.5369 9.3247
5-14+ 9.2960 9.2569 9.0432
5-16+ 9.0215 8.9820 8.7669
5-18+ 8.7521 8.7122 8.4957
5-20+ 8.4875 8.4473 8.2294
5-22+ 8.2276 8.1870 7.9678
5-24+ 7.9724 7.9314 7.7108
5-26+ 7.7215 7.6802 7.4583
5-28+ 7.4750 7.4333 7.2101
5-30+ 7.2327 7.1906 6.9662
6-00+ 6.9944 6.9520 6.7263
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 371 368 346
WAL 9.41364 9.38900 9.24419
Mod Durn 4.127 4.122 4.100
Mod Convexity 0.262 0.261 0.259
Principal Window Jun99 to Jul27 Jun99 to Nov23 Jun99 to Sep23
Maturity #mos 338 294 292
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
</TABLE>
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
FUNCM99C2_RED2, CLASS A2--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.522
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
<TABLE>
<CAPTION>
- ------------------------------------ ----------------- ------------------ ----------------- ----------------- -----------------
0CPR; 25CPR; EXT0MO 50CPR; EXT0MO 75CPR; EXT0MO 100CPR; EXT0MO
EXT0MO 100% 0% 100% 0% 100% 0% 100% 0% 100% 0%
RULES; 0CDR, 0% RULES; 0CDR, 0% RULES; 0CDR, 0% RULES; 0CDR, 0% RULES; 0CDR, 0%
PRICE ADV100% LAG0; BP ADV100% LAG0; BP ADV100% LAG0; BP ADV100% LAG0; BP ADV100% LAG0; BP
Yield
- ------------------------------------ ----------------- ------------------ ----------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
99-16 6.6469 6.6573 6.6551 6.6517 6.6513
99-20 6.6288 6.6388 6.6365 6.6330 6.6324
99-24 6.6107 6.6204 6.6179 6.6144 6.6135
99-28 6.5927 6.6020 6.5994 6.5958 6.5946
100-00 6.5747 6.5837 6.5809 6.5772 6.5758
100-04 6.5567 6.5654 6.5624 6.5586 6.5570
100-08 6.5387 6.5471 6.5439 6.5401 6.5382
100-12 6.5208 6.5288 6.5255 6.5216 6.5195
100-16 6.5029 6.5106 6.5071 6.5031 6.5007
100-20 6.4850 6.4924 6.4887 6.4847 6.4821
100-24 6.4672 6.4742 6.4704 6.4663 6.4634
100-28 6.4494 6.4561 6.4521 6.4479 6.4448
101-00 6.4316 6.4380 6.4338 6.4296 6.4262
101-04 6.4138 6.4199 6.4156 6.4112 6.4076
101-08 6.3961 6.4018 6.3973 6.3929 6.3891
101-12 6.3784 6.3838 6.3791 6.3747 6.3706
101-16 6.3607 6.3658 6.3610 6.3564 6.3521
101-20 6.3431 6.3478 6.3428 6.3382 6.3337
101-24 6.3254 6.3299 6.3247 6.3201 6.3152
101-28 6.3078 6.3119 6.3066 6.3019 6.2968
102-00 6.2903 6.2940 6.2886 6.2838 6.2785
102-04 6.2727 6.2762 6.2705 6.2657 6.2601
102-08 6.2552 6.2583 6.2525 6.2476 6.2418
102-12 6.2377 6.2405 6.2346 6.2296 6.2236
102-16 6.2203 6.2227 6.2166 6.2116 6.2053
102-20 6.2029 6.2050 6.1987 6.1936 6.1871
102-24 6.1855 6.1873 6.1808 6.1756 6.1689
102-28 6.1681 6.1696 6.1630 6.1577 6.1507
103-00 6.1507 6.1519 6.1451 6.1398 6.1326
103-04 6.1334 6.1343 6.1273 6.1219 6.1145
103-08 6.1161 6.1166 6.1095 6.1041 6.0964
103-12 6.0988 6.0990 6.0918 6.0863 6.0783
103-16 6.0816 6.0815 6.0741 6.0685 6.0603
- ------------------------------------ ----------------- ------------------ ----------------- ----------------- -----------------
- ------------------------------------ ----------------- ------------------ ----------------- ----------------- -----------------
Spread @ Center Price 105 106 106 105 105
WAL 9.58679 9.36067 9.25383 9.20838 9.04353
Mod Durn 6.949 6.823 6.761 6.735 6.647
Mod Convexity 0.583 0.562 0.552 0.548 0.532
Principal Window Jun08 to Apr09 Dec05 to Apr09 Mar05 to Mar09 Oct04 to Mar09 Sep04 to Jan09
Maturity #mos 119 119 118 118 116
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos 0 mos
Optional Redemption
- ------------------------------------ ----------------- ------------------ ----------------- ----------------- -----------------
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, CLASS A2
- -------------------------------------------------------
CUSIP
Coupon 6.522
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
<TABLE>
<CAPTION>
- ------------------------------------ ----------------- ------------------ ----------------- ----------------- -----------------
0CPR YM; EXT0MO 25CPR YM; EXT0MO 50CPR YM; 75CPR YM; 100CPR YM;
100% 0% RULES; 100% 0% RULES; EXT0MO 100% 0% EXT0MO 100% 0% EXT0MO 100% 0%
0CDR,0% ADV100% 0CDR,0% ADV100% RULES; 0CDR,0% RULES; 0CDR,0% RULES; 0CDR,0%
PRICE LAG0; BP LAG0; BP ADV100% LAG0; BP ADV100% LAG0; BP ADV100% LAG0; BP
Yield
- ------------------------------------ ----------------- ------------------ ----------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
99-16 6.6469 6.6469 6.6470 6.6471 6.6476
99-20 6.6288 6.6288 6.6288 6.6289 6.6292
99-24 6.6107 6.6107 6.6107 6.6107 6.6108
99-28 6.5927 6.5927 6.5926 6.5926 6.5924
100-00 6.5747 6.5746 6.5746 6.5745 6.5740
100-04 6.5567 6.5566 6.5566 6.5564 6.5557
100-08 6.5387 6.5386 6.5386 6.5384 6.5374
100-12 6.5208 6.5207 6.5206 6.5204 6.5191
100-16 6.5029 6.5028 6.5026 6.5024 6.5009
100-20 6.4850 6.4849 6.4847 6.4845 6.4827
100-24 6.4672 6.4670 6.4668 6.4665 6.4645
100-28 6.4494 6.4492 6.4490 6.4486 6.4464
101-00 6.4316 6.4314 6.4311 6.4308 6.4282
101-04 6.4138 6.4136 6.4133 6.4129 6.4101
101-08 6.3961 6.3959 6.3956 6.3951 6.3921
101-12 6.3784 6.3781 6.3778 6.3773 6.3740
101-16 6.3607 6.3604 6.3601 6.3596 6.3560
101-20 6.3431 6.3428 6.3424 6.3418 6.3380
101-24 6.3254 6.3251 6.3247 6.3241 6.3201
101-28 6.3078 6.3075 6.3071 6.3064 6.3021
102-00 6.2903 6.2899 6.2895 6.2888 6.2842
102-04 6.2727 6.2724 6.2719 6.2712 6.2664
102-08 6.2552 6.2549 6.2543 6.2536 6.2485
102-12 6.2377 6.2373 6.2368 6.2360 6.2307
102-16 6.2203 6.2199 6.2193 6.2185 6.2129
102-20 6.2029 6.2024 6.2018 6.2010 6.1952
102-24 6.1855 6.1850 6.1844 6.1835 6.1774
102-28 6.1681 6.1676 6.1670 6.1660 6.1597
103-00 6.1507 6.1502 6.1496 6.1486 6.1420
103-04 6.1334 6.1329 6.1322 6.1312 6.1244
103-08 6.1161 6.1156 6.1149 6.1138 6.1068
103-12 6.0988 6.0983 6.0976 6.0964 6.0892
103-16 6.0816 6.0810 6.0803 6.0791 6.0716
- ------------------------------------ ----------------- ------------------ ----------------- ----------------- -----------------
- ------------------------------------ ----------------- ------------------ ----------------- ----------------- -----------------
Spread @ Center Price 105 105 105 105 105
WAL 9.58679 9.57229 9.55321 9.52425 9.34190
Mod Durn 6.949 6.942 6.932 6.916 6.820
Mod Convexity 0.583 0.581 0.579 0.577 0.559
Principal Window Jun08 to Apr09 Jun08 to Apr09 May08 to Apr09 Apr08 to Apr09 Feb08 to Feb09
Maturity #mos 119 119 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos 0 mos
Optional Redemption
- ------------------------------------ ----------------- ------------------ ----------------- ----------------- -----------------
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
FUNCM99C2_RED2, CLASS A2
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.522 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX WAL 9.58679 yrs
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
Prepay: At 0 CPR No prepays: Lockout and penalties: Include penalty
Default: At 0 CDR Loss Severity: 0% Servicer Advances: 100% of P & I Recovery Lag: 0 mos
Extension, if balloon: None Increase Coupon: Pay Exten Princ:
Optional Redemption:
</TABLE>
<TABLE>
<CAPTION>
PerDate Principal Interest Cash Flow Balance Prepay Penalty
<S> <C> <C> <C> <C> <C>
0. May 20, 99 0.00 0.00 0.00 673,785,678.00 0.00
1. Jun 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
2. Jul 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
3. Aug 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
4. Sep 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
5. Oct 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
6. Nov 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
7. Dec 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
8. Jan 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
9. Feb 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
10. Mar 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
11. Apr 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
12. May 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
13. Jun 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
14. Jul 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
15. Aug 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
16. Sep 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
17. Oct 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
18. Nov 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
19. Dec 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
20. Jan 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
21. Feb 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
22. Mar 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
23. Apr 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
24. May 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
25. Jun 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
26. Jul 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
27. Aug 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
28. Sep 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
29. Oct 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
30. Nov 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
31. Dec 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
32. Jan 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
33. Feb 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
34. Mar 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
35. Apr 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
36. May 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
37. Jun 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
38. Jul 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
39. Aug 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
40. Sep 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
41. Oct 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
42. Nov 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
43. Dec 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
44. Jan 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
45. Feb 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
46. Mar 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
47. Apr 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
48. May 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
49. Jun 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
50. Jul 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
51. Aug 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
52. Sep 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
53. Oct 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
54. Nov 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
55. Dec 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
56. Jan 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
57. Feb 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
58. Mar 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
59. Apr 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
60. May 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
61. Jun 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
62. Jul 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
63. Aug 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
64. Sep 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
65. Oct 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
66. Nov 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
67. Dec 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
68. Jan 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
69. Feb 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
70. Mar 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
71. Apr 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
72. May 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
73. Jun 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
74. Jul 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
75. Aug 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
76. Sep 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
77. Oct 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
78. Nov 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
79. Dec 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
80. Jan 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
81. Feb 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
82. Mar 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
83. Apr 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
84. May 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
85. Jun 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
86. Jul 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
87. Aug 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
88. Sep 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
89. Oct 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
90. Nov 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
91. Dec 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
92. Jan 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
93. Feb 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
94. Mar 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
95. Apr 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
96. May 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
97. Jun 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
98. Jul 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
99. Aug 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
100. Sep 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
101. Oct 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
102. Nov 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
103. Dec 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
104. Jan 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
105. Feb 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
106. Mar 15, 08 0 3,662,025.16 3,662,025.16 673,785,678.00 0
107. Apr 15, 08 0 3,662,025.16 3,662,025.16 673,785,678.00 0
108. May 15, 08 0 3,662,025.16 3,662,025.16 673,785,678.00 0
109. Jun 15, 08 20,163,491.23 3,662,025.16 23,825,516.39 653,622,186.77 0
110. Jul 15, 08 47,413,713.90 3,552,436.59 50,966,150.49 606,208,472.87 0
111. Aug 15, 08 17,070,010.36 3,294,743.05 20,364,753.41 589,138,462.51 0
112. Sep 15, 08 17,065,486.60 3,201,967.54 20,267,454.14 572,072,975.91 0
113. Oct 15, 08 44,805,739.80 3,109,216.62 47,914,956.42 527,267,236.11 0
114. Nov 15, 08 95,666,134.64 2,865,697.43 98,531,832.06 431,601,101.48 0
115. Dec 15, 08 133,342,957.82 2,345,751.99 135,688,709.80 298,258,143.66 0
116. Jan 15, 09 54,148,736.03 1,621,033.01 55,769,769.04 244,109,407.63 0
117. Feb 15, 09 39,944,978.59 1,326,734.63 41,271,713.22 204,164,429.05 0
118. Mar 15, 09 147,674,012.09 1,109,633.67 148,783,645.76 56,490,416.96 0
119. Apr 15, 09 56,490,416.96 307,025.42 56,797,442.37 0 0
Total 673,785,678.00 421,894,982.38 1,095,680,660.38 0
(table continued)
<PAGE>
PerDate Princ Writedown Accrued Interest Interest Shortfall Coupon
0. May 20, 99 0.00 0.00 0.00 0.000000
1. Jun 15, 99 0.00 3,662,025.16 0.00 6.522000
2. Jul 15, 99 0.00 3,662,025.16 0.00 6.522000
3. Aug 15, 99 0.00 3,662,025.16 0.00 6.522000
4. Sep 15, 99 0.00 3,662,025.16 0.00 6.522000
5. Oct 15, 99 0.00 3,662,025.16 0.00 6.522000
6. Nov 15, 99 0.00 3,662,025.16 0.00 6.522000
7. Dec 15, 99 0.00 3,662,025.16 0.00 6.522000
8. Jan 15, 00 0.00 3,662,025.16 0.00 6.522000
9. Feb 15, 00 0.00 3,662,025.16 0.00 6.522000
10. Mar 15, 00 0.00 3,662,025.16 0.00 6.522000
11. Apr 15, 00 0.00 3,662,025.16 0.00 6.522000
12. May 15, 00 0.00 3,662,025.16 0.00 6.522000
13. Jun 15, 00 0.00 3,662,025.16 0.00 6.522000
14. Jul 15, 00 0.00 3,662,025.16 0.00 6.522000
15. Aug 15, 00 0.00 3,662,025.16 0.00 6.522000
16. Sep 15, 00 0.00 3,662,025.16 0.00 6.522000
17. Oct 15, 00 0.00 3,662,025.16 0.00 6.522000
18. Nov 15, 00 0.00 3,662,025.16 0.00 6.522000
19. Dec 15, 00 0.00 3,662,025.16 0.00 6.522000
20. Jan 15, 01 0.00 3,662,025.16 0.00 6.522000
21. Feb 15, 01 0.00 3,662,025.16 0.00 6.522000
22. Mar 15, 01 0.00 3,662,025.16 0.00 6.522000
23. Apr 15, 01 0.00 3,662,025.16 0.00 6.522000
24. May 15, 01 0.00 3,662,025.16 0.00 6.522000
25. Jun 15, 01 0.00 3,662,025.16 0.00 6.522000
26. Jul 15, 01 0.00 3,662,025.16 0.00 6.522000
27. Aug 15, 01 0.00 3,662,025.16 0.00 6.522000
28. Sep 15, 01 0.00 3,662,025.16 0.00 6.522000
29. Oct 15, 01 0.00 3,662,025.16 0.00 6.522000
30. Nov 15, 01 0.00 3,662,025.16 0.00 6.522000
31. Dec 15, 01 0.00 3,662,025.16 0.00 6.522000
32. Jan 15, 02 0.00 3,662,025.16 0.00 6.522000
33. Feb 15, 02 0.00 3,662,025.16 0.00 6.522000
34. Mar 15, 02 0.00 3,662,025.16 0.00 6.522000
35. Apr 15, 02 0.00 3,662,025.16 0.00 6.522000
36. May 15, 02 0.00 3,662,025.16 0.00 6.522000
37. Jun 15, 02 0.00 3,662,025.16 0.00 6.522000
38. Jul 15, 02 0.00 3,662,025.16 0.00 6.522000
39. Aug 15, 02 0.00 3,662,025.16 0.00 6.522000
40. Sep 15, 02 0.00 3,662,025.16 0.00 6.522000
41. Oct 15, 02 0.00 3,662,025.16 0.00 6.522000
42. Nov 15, 02 0.00 3,662,025.16 0.00 6.522000
43. Dec 15, 02 0.00 3,662,025.16 0.00 6.522000
44. Jan 15, 03 0.00 3,662,025.16 0.00 6.522000
45. Feb 15, 03 0.00 3,662,025.16 0.00 6.522000
46. Mar 15, 03 0.00 3,662,025.16 0.00 6.522000
47. Apr 15, 03 0.00 3,662,025.16 0.00 6.522000
48. May 15, 03 0.00 3,662,025.16 0.00 6.522000
49. Jun 15, 03 0.00 3,662,025.16 0.00 6.522000
50. Jul 15, 03 0.00 3,662,025.16 0.00 6.522000
51. Aug 15, 03 0.00 3,662,025.16 0.00 6.522000
52. Sep 15, 03 0.00 3,662,025.16 0.00 6.522000
53. Oct 15, 03 0.00 3,662,025.16 0.00 6.522000
54. Nov 15, 03 0.00 3,662,025.16 0.00 6.522000
55. Dec 15, 03 0.00 3,662,025.16 0.00 6.522000
56. Jan 15, 04 0.00 3,662,025.16 0.00 6.522000
57. Feb 15, 04 0.00 3,662,025.16 0.00 6.522000
58. Mar 15, 04 0.00 3,662,025.16 0.00 6.522000
59. Apr 15, 04 0.00 3,662,025.16 0.00 6.522000
60. May 15, 04 0.00 3,662,025.16 0.00 6.522000
61. Jun 15, 04 0.00 3,662,025.16 0.00 6.522000
62. Jul 15, 04 0.00 3,662,025.16 0.00 6.522000
63. Aug 15, 04 0.00 3,662,025.16 0.00 6.522000
64. Sep 15, 04 0.00 3,662,025.16 0.00 6.522000
65. Oct 15, 04 0.00 3,662,025.16 0.00 6.522000
66. Nov 15, 04 0.00 3,662,025.16 0.00 6.522000
67. Dec 15, 04 0.00 3,662,025.16 0.00 6.522000
68. Jan 15, 05 0.00 3,662,025.16 0.00 6.522000
69. Feb 15, 05 0.00 3,662,025.16 0.00 6.522000
70. Mar 15, 05 0.00 3,662,025.16 0.00 6.522000
71. Apr 15, 05 0.00 3,662,025.16 0.00 6.522000
72. May 15, 05 0.00 3,662,025.16 0.00 6.522000
73. Jun 15, 05 0.00 3,662,025.16 0.00 6.522000
74. Jul 15, 05 0.00 3,662,025.16 0.00 6.522000
75. Aug 15, 05 0.00 3,662,025.16 0.00 6.522000
76. Sep 15, 05 0.00 3,662,025.16 0.00 6.522000
77. Oct 15, 05 0.00 3,662,025.16 0.00 6.522000
78. Nov 15, 05 0.00 3,662,025.16 0.00 6.522000
79. Dec 15, 05 0.00 3,662,025.16 0.00 6.522000
80. Jan 15, 06 0.00 3,662,025.16 0.00 6.522000
81. Feb 15, 06 0.00 3,662,025.16 0.00 6.522000
82. Mar 15, 06 0.00 3,662,025.16 0.00 6.522000
83. Apr 15, 06 0.00 3,662,025.16 0.00 6.522000
84. May 15, 06 0.00 3,662,025.16 0.00 6.522000
85. Jun 15, 06 0.00 3,662,025.16 0.00 6.522000
86. Jul 15, 06 0.00 3,662,025.16 0.00 6.522000
87. Aug 15, 06 0.00 3,662,025.16 0.00 6.522000
88. Sep 15, 06 0.00 3,662,025.16 0.00 6.522000
89. Oct 15, 06 0.00 3,662,025.16 0.00 6.522000
90. Nov 15, 06 0.00 3,662,025.16 0.00 6.522000
91. Dec 15, 06 0.00 3,662,025.16 0.00 6.522000
92. Jan 15, 07 0.00 3,662,025.16 0.00 6.522000
93. Feb 15, 07 0.00 3,662,025.16 0.00 6.522000
94. Mar 15, 07 0.00 3,662,025.16 0.00 6.522000
95. Apr 15, 07 0.00 3,662,025.16 0.00 6.522000
96. May 15, 07 0.00 3,662,025.16 0.00 6.522000
97. Jun 15, 07 0.00 3,662,025.16 0.00 6.522000
98. Jul 15, 07 0.00 3,662,025.16 0.00 6.522000
99. Aug 15, 07 0.00 3,662,025.16 0.00 6.522000
100. Sep 15, 07 0.00 3,662,025.16 0.00 6.522000
101. Oct 15, 07 0.00 3,662,025.16 0.00 6.522000
102. Nov 15, 07 0.00 3,662,025.16 0.00 6.522000
103. Dec 15, 07 0.00 3,662,025.16 0.00 6.522000
104. Jan 15, 08 0.00 3,662,025.16 0.00 6.522000
105. Feb 15, 08 0.00 3,662,025.16 0.00 6.522000
106. Mar 15, 08 0 3,662,025.16 0 6.522
107. Apr 15, 08 0 3,662,025.16 0 6.522
108. May 15, 08 0 3,662,025.16 0 6.522
109. Jun 15, 08 0 3,662,025.16 0 6.522
110. Jul 15, 08 0 3,552,436.59 0 6.522
111. Aug 15, 08 0 3,294,743.05 0 6.522
112. Sep 15, 08 0 3,201,967.54 0 6.522
113. Oct 15, 08 0 3,109,216.62 0 6.522
114. Nov 15, 08 0 2,865,697.43 0 6.522
115. Dec 15, 08 0 2,345,751.99 0 6.522
116. Jan 15, 09 0 1,621,033.01 0 6.522
117. Feb 15, 09 0 1,326,734.63 0 6.522
118. Mar 15, 09 0 1,109,633.67 0 6.522
119. Apr 15, 09 0 307,025.42 0 6.522
Total 0 421,894,982.38 0
</TABLE>
<PAGE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
FUNCM99C2_RED2, CLASS A2
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.522 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX WAL 9.04353 yrs
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
Prepay: At 100 CPR No prepays: Lockout and penalties: Include penalty
Default: At 0 CDR Loss Severity: 0% Servicer Advances: 100% of P & I Recovery Lag: 0 mos
Extension, if balloon: None Increase Coupon: Pay Exten Princ:
Optional Redemption:
</TABLE>
<TABLE>
<CAPTION>
PerDate Principal Interest Cash Flow Balance Prepay Penalty
<S> <C> <C> <C> <C> <C>
0. May 20, 99 0.00 0.00 0.00 673,785,678.00 0.00
1. Jun 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
2. Jul 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
3. Aug 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
4. Sep 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
5. Oct 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
6. Nov 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
7. Dec 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
8. Jan 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
9. Feb 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
10. Mar 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
11. Apr 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
12. May 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
13. Jun 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
14. Jul 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
15. Aug 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
16. Sep 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
17. Oct 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
18. Nov 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
19. Dec 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
20. Jan 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
21. Feb 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
22. Mar 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
23. Apr 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
24. May 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
25. Jun 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
26. Jul 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
27. Aug 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
28. Sep 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
29. Oct 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
30. Nov 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
31. Dec 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
32. Jan 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
33. Feb 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
34. Mar 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
35. Apr 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
36. May 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
37. Jun 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
38. Jul 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
39. Aug 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
40. Sep 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
41. Oct 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
42. Nov 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
43. Dec 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
44. Jan 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
45. Feb 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
46. Mar 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
47. Apr 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
48. May 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
49. Jun 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
50. Jul 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
51. Aug 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
52. Sep 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
53. Oct 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
54. Nov 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
55. Dec 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
56. Jan 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
57. Feb 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
58. Mar 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
59. Apr 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
60. May 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
61. Jun 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
62. Jul 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
63. Aug 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00
64. Sep 15, 04 396,340.11 3,662,025.16 4,058,365.27 673,389,337.89 0.00
65. Oct 15, 04 1,512,650.30 3,659,871.05 5,172,521.35 671,876,687.59 0.00
66. Nov 15, 04 1,334,417.66 3,651,649.80 4,986,067.46 670,542,269.93 0.00
67. Dec 15, 04 1,529,985.85 3,644,397.24 5,174,383.09 669,012,284.08 0.00
68. Jan 15, 05 1,352,380.30 3,636,081.76 4,988,462.07 667,659,903.78 0.00
69. Feb 15, 05 1,360,854.93 3,628,731.58 4,989,586.51 666,299,048.85 0.00
70. Mar 15, 05 1,928,694.70 3,621,335.33 5,550,030.03 664,370,354.15 0.00
71. Apr 15, 05 1,381,512.06 3,610,852.87 4,992,364.94 662,988,842.09 0.00
72. May 15, 05 1,575,997.20 3,603,344.36 5,179,341.55 661,412,844.89 0.00
73. Jun 15, 05 1,400,062.25 3,594,778.81 4,994,841.06 660,012,782.65 0.00
74. Jul 15, 05 1,594,122.92 3,587,169.47 5,181,292.39 658,418,659.73 0.00
75. Aug 15, 05 3,006,518.70 3,578,505.42 6,585,024.11 655,412,141.03 0.00
76. Sep 15, 05 14,326,075.36 3,562,164.99 17,888,240.35 641,086,065.67 0.00
77. Oct 15, 05 1,599,983.74 3,484,302.77 5,084,286.50 639,486,081.93 0.00
78. Nov 15, 05 1,428,215.19 3,475,606.86 4,903,822.05 638,057,866.74 0.00
79. Dec 15, 05 1,618,454.30 3,467,844.51 5,086,298.81 636,439,412.43 0.00
80. Jan 15, 06 1,447,353.52 3,459,048.21 4,906,401.73 634,992,058.91 0.00
81. Feb 15, 06 1,456,439.60 3,451,181.84 4,907,621.44 633,535,619.31 0.00
82. Mar 15, 06 2,006,941.94 3,443,266.09 5,450,208.03 631,528,677.37 0.00
83. Apr 15, 06 1,478,222.86 3,432,358.36 4,910,581.22 630,050,454.52 0.00
84. May 15, 06 1,667,314.38 3,424,324.22 5,091,638.60 628,383,140.14 0.00
85. Jun 15, 06 1,497,986.09 3,415,262.37 4,913,248.46 626,885,154.04 0.00
86. Jul 15, 06 1,686,626.20 3,407,120.81 5,093,747.01 625,198,527.85 0.00
87. Aug 15, 06 1,517,996.27 3,397,954.00 4,915,950.27 623,680,531.58 0.00
88. Sep 15, 06 1,527,528.89 3,389,703.69 4,917,232.58 622,153,002.69 0.00
89. Oct 15, 06 2,433,607.87 3,432,142.68 5,865,750.55 619,719,394.82 50,741.11
90. Nov 15, 06 2,965,525.05 3,519,062.69 6,484,587.74 616,753,869.77 150,887.78
91. Dec 15, 06 1,723,002.11 3,352,057.28 5,075,059.39 615,030,867.66 0.00
92. Jan 15, 07 1,556,049.82 3,342,692.77 4,898,742.58 613,474,817.84 0.00
93. Feb 15, 07 1,565,816.68 3,334,235.63 4,900,052.31 611,909,001.16 0.00
94. Mar 15, 07 2,106,323.27 3,325,725.42 5,432,048.69 609,802,677.89 0.00
95. Apr 15, 07 1,588,906.54 3,314,277.55 4,903,184.09 608,213,771.35 0.00
96. May 15, 07 1,775,087.91 3,305,641.85 5,080,729.76 606,438,683.44 0.00
97. Jun 15, 07 1,610,037.81 3,295,994.24 4,906,032.05 604,828,645.63 0.00
98. Jul 15, 07 1,795,731.18 3,287,243.69 5,082,974.87 603,032,914.45 0.00
99. Aug 15, 07 1,631,432.98 3,277,483.89 4,908,916.87 601,401,481.47 0.00
100. Sep 15, 07 1,641,676.20 3,268,617.05 4,910,293.25 599,759,805.27 0.00
101. Oct 15, 07 1,826,640.56 3,259,694.54 5,086,335.10 597,933,164.71 0.00
102. Nov 15, 07 1,663,466.49 3,249,766.75 4,913,233.24 596,269,698.22 0.00
103. Dec 15, 07 1,847,927.60 3,240,725.81 5,088,653.41 594,421,770.62 0
104. Jan 15, 08 17,050,436.08 3,230,682.32 20,281,118.40 577,371,334.54 0
105. Feb 15, 08 17,629,956.99 3,138,013.20 20,767,970.19 559,741,377.55 0
106. Mar 15, 08 7,397,925.86 3,042,194.39 10,440,120.24 552,343,451.70 0
107. Apr 15, 08 16,013,109.46 3,001,986.66 19,015,096.12 536,330,342.23 0
108. May 15, 08 10,718,187.25 2,914,955.41 13,633,142.66 525,612,154.98 0
109. Jun 15, 08 10,317,543.27 2,856,702.06 13,174,245.33 515,294,611.71 0
110. Jul 15, 08 22,384,077.90 2,800,626.21 25,184,704.11 492,910,533.81 0
111. Aug 15, 08 86,117,546.99 2,678,968.75 88,796,515.74 406,792,986.82 0
112. Sep 15, 08 168,309,206.96 2,210,919.88 170,520,126.84 238,483,779.87 0
113. Oct 15, 08 38,655,472.65 1,296,159.34 39,951,631.99 199,828,307.22 0
114. Nov 15, 08 70,683,840.25 1,086,066.85 71,769,907.10 129,144,466.97 0
115. Dec 15, 08 44,020,063.28 701,900.18 44,721,963.45 85,124,403.69 0
116. Jan 15, 09 85,124,403.69 462,651.13 85,587,054.83 0 0
Total 673,785,678.00 398,223,654.88 1,072,009,332.88 201,628.89
(table continued)
PerDate Princ Writedown Accrued Interest Interest Coupon
Shortfall
0. May 20, 99 0.00 0.00 0.00 0.000000
1. Jun 15, 99 0.00 3,662,025.16 0.00 6.522000
2. Jul 15, 99 0.00 3,662,025.16 0.00 6.522000
3. Aug 15, 99 0.00 3,662,025.16 0.00 6.522000
4. Sep 15, 99 0.00 3,662,025.16 0.00 6.522000
5. Oct 15, 99 0.00 3,662,025.16 0.00 6.522000
6. Nov 15, 99 0.00 3,662,025.16 0.00 6.522000
7. Dec 15, 99 0.00 3,662,025.16 0.00 6.522000
8. Jan 15, 00 0.00 3,662,025.16 0.00 6.522000
9. Feb 15, 00 0.00 3,662,025.16 0.00 6.522000
10. Mar 15, 00 0.00 3,662,025.16 0.00 6.522000
11. Apr 15, 00 0.00 3,662,025.16 0.00 6.522000
12. May 15, 00 0.00 3,662,025.16 0.00 6.522000
13. Jun 15, 00 0.00 3,662,025.16 0.00 6.522000
14. Jul 15, 00 0.00 3,662,025.16 0.00 6.522000
15. Aug 15, 00 0.00 3,662,025.16 0.00 6.522000
16. Sep 15, 00 0.00 3,662,025.16 0.00 6.522000
17. Oct 15, 00 0.00 3,662,025.16 0.00 6.522000
18. Nov 15, 00 0.00 3,662,025.16 0.00 6.522000
19. Dec 15, 00 0.00 3,662,025.16 0.00 6.522000
20. Jan 15, 01 0.00 3,662,025.16 0.00 6.522000
21. Feb 15, 01 0.00 3,662,025.16 0.00 6.522000
22. Mar 15, 01 0.00 3,662,025.16 0.00 6.522000
23. Apr 15, 01 0.00 3,662,025.16 0.00 6.522000
24. May 15, 01 0.00 3,662,025.16 0.00 6.522000
25. Jun 15, 01 0.00 3,662,025.16 0.00 6.522000
26. Jul 15, 01 0.00 3,662,025.16 0.00 6.522000
27. Aug 15, 01 0.00 3,662,025.16 0.00 6.522000
28. Sep 15, 01 0.00 3,662,025.16 0.00 6.522000
29. Oct 15, 01 0.00 3,662,025.16 0.00 6.522000
30. Nov 15, 01 0.00 3,662,025.16 0.00 6.522000
31. Dec 15, 01 0.00 3,662,025.16 0.00 6.522000
32. Jan 15, 02 0.00 3,662,025.16 0.00 6.522000
33. Feb 15, 02 0.00 3,662,025.16 0.00 6.522000
34. Mar 15, 02 0.00 3,662,025.16 0.00 6.522000
35. Apr 15, 02 0.00 3,662,025.16 0.00 6.522000
36. May 15, 02 0.00 3,662,025.16 0.00 6.522000
37. Jun 15, 02 0.00 3,662,025.16 0.00 6.522000
38. Jul 15, 02 0.00 3,662,025.16 0.00 6.522000
39. Aug 15, 02 0.00 3,662,025.16 0.00 6.522000
40. Sep 15, 02 0.00 3,662,025.16 0.00 6.522000
41. Oct 15, 02 0.00 3,662,025.16 0.00 6.522000
42. Nov 15, 02 0.00 3,662,025.16 0.00 6.522000
43. Dec 15, 02 0.00 3,662,025.16 0.00 6.522000
44. Jan 15, 03 0.00 3,662,025.16 0.00 6.522000
45. Feb 15, 03 0.00 3,662,025.16 0.00 6.522000
46. Mar 15, 03 0.00 3,662,025.16 0.00 6.522000
47. Apr 15, 03 0.00 3,662,025.16 0.00 6.522000
48. May 15, 03 0.00 3,662,025.16 0.00 6.522000
49. Jun 15, 03 0.00 3,662,025.16 0.00 6.522000
50. Jul 15, 03 0.00 3,662,025.16 0.00 6.522000
51. Aug 15, 03 0.00 3,662,025.16 0.00 6.522000
52. Sep 15, 03 0.00 3,662,025.16 0.00 6.522000
53. Oct 15, 03 0.00 3,662,025.16 0.00 6.522000
54. Nov 15, 03 0.00 3,662,025.16 0.00 6.522000
55. Dec 15, 03 0.00 3,662,025.16 0.00 6.522000
56. Jan 15, 04 0.00 3,662,025.16 0.00 6.522000
57. Feb 15, 04 0.00 3,662,025.16 0.00 6.522000
58. Mar 15, 04 0.00 3,662,025.16 0.00 6.522000
59. Apr 15, 04 0.00 3,662,025.16 0.00 6.522000
60. May 15, 04 0.00 3,662,025.16 0.00 6.522000
61. Jun 15, 04 0.00 3,662,025.16 0.00 6.522000
62. Jul 15, 04 0.00 3,662,025.16 0.00 6.522000
63. Aug 15, 04 0.00 3,662,025.16 0.00 6.522000
64. Sep 15, 04 0.00 3,662,025.16 0.00 6.522000
65. Oct 15, 04 0.00 3,659,871.05 0.00 6.522000
66. Nov 15, 04 0.00 3,651,649.80 0.00 6.522000
67. Dec 15, 04 0.00 3,644,397.24 0.00 6.522000
68. Jan 15, 05 0.00 3,636,081.76 0.00 6.522000
69. Feb 15, 05 0.00 3,628,731.58 0.00 6.522000
70. Mar 15, 05 0.00 3,621,335.33 0.00 6.522000
71. Apr 15, 05 0.00 3,610,852.87 0.00 6.522000
72. May 15, 05 0.00 3,603,344.36 0.00 6.522000
73. Jun 15, 05 0.00 3,594,778.81 0.00 6.522000
74. Jul 15, 05 0.00 3,587,169.47 0.00 6.522000
75. Aug 15, 05 0.00 3,578,505.42 0.00 6.522000
76. Sep 15, 05 0.00 3,562,164.99 0.00 6.522000
77. Oct 15, 05 0.00 3,484,302.77 0.00 6.522000
78. Nov 15, 05 0.00 3,475,606.86 0.00 6.522000
79. Dec 15, 05 0.00 3,467,844.51 0.00 6.522000
80. Jan 15, 06 0.00 3,459,048.21 0.00 6.522000
81. Feb 15, 06 0.00 3,451,181.84 0.00 6.522000
82. Mar 15, 06 0.00 3,443,266.09 0.00 6.522000
83. Apr 15, 06 0.00 3,432,358.36 0.00 6.522000
84. May 15, 06 0.00 3,424,324.22 0.00 6.522000
85. Jun 15, 06 0.00 3,415,262.37 0.00 6.522000
86. Jul 15, 06 0.00 3,407,120.81 0.00 6.522000
87. Aug 15, 06 0.00 3,397,954.00 0.00 6.522000
88. Sep 15, 06 0.00 3,389,703.69 0.00 6.522000
89. Oct 15, 06 0.00 3,381,401.57 0.00 6.522000
90. Nov 15, 06 0.00 3,368,174.91 0.00 6.522000
91. Dec 15, 06 0.00 3,352,057.28 0.00 6.522000
92. Jan 15, 07 0.00 3,342,692.77 0.00 6.522000
93. Feb 15, 07 0.00 3,334,235.63 0.00 6.522000
94. Mar 15, 07 0.00 3,325,725.42 0.00 6.522000
95. Apr 15, 07 0.00 3,314,277.55 0.00 6.522000
96. May 15, 07 0.00 3,305,641.85 0.00 6.522000
97. Jun 15, 07 0.00 3,295,994.24 0.00 6.522000
98. Jul 15, 07 0.00 3,287,243.69 0.00 6.522000
99. Aug 15, 07 0.00 3,277,483.89 0.00 6.522000
100. Sep 15, 07 0.00 3,268,617.05 0.00 6.522000
101. Oct 15, 07 0.00 3,259,694.54 0.00 6.522000
102. Nov 15, 07 0.00 3,249,766.75 0.00 6.522000
103. Dec 15, 07 0 3,240,725.81 0 6.522
104. Jan 15, 08 0 3,230,682.32 0 6.522
105. Feb 15, 08 0 3,138,013.20 0 6.522
106. Mar 15, 08 0 3,042,194.39 0 6.522
107. Apr 15, 08 0 3,001,986.66 0 6.522
108. May 15, 08 0 2,914,955.41 0 6.522
109. Jun 15, 08 0 2,856,702.06 0 6.522
110. Jul 15, 08 0 2,800,626.21 0 6.522
111. Aug 15, 08 0 2,678,968.75 0 6.522
112. Sep 15, 08 0 2,210,919.88 0 6.522
113. Oct 15, 08 0 1,296,159.34 0 6.522
114. Nov 15, 08 0 1,086,066.85 0 6.522
115. Dec 15, 08 0 701,900.18 0 6.522
116. Jan 15, 09 0 462,651.13 0 6.522
Total 0 398,022,025.99 0
</TABLE>
FUNCM99C2_RED2, Class A2--Price/Yield
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.522 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079,
3YR=5.123333333, 5YR=5.212, 10YR=5.32, 30YR=5.701
<TABLE>
<CAPTION>
0CPR; Ext0mo 100% 0% rules; 0CPR; Ext0mo 100% 0% rules; 0 0CPR; Ext0mo 100% 0% rules;
0 for 24 1CDR,35% adv100% for 24 2CDR,35% adv 0 for 24 3CDR,35% adv
Price lag12; bp 100% lag12; bp 100% lag12; bp
Yield
<S> <C> <C> <C>
100-16 6.5025 6.5018 6.5008
100-20 6.4846 6.4838 6.4826
100-24 6.4667 6.4657 6.4644
100-28 6.4489 6.4477 6.4462
101-00 6.4310 6.4298 6.4281
101-04 6.4132 6.4118 6.4100
101-08 6.3954 6.3939 6.3919
101-12 6.3777 6.3761 6.3739
101-16 6.3599 6.3582 6.3559
101-20 6.3422 6.3404 6.3379
101-24 6.3245 6.3226 6.3199
101-28 6.3069 6.3048 6.3020
102-00 6.2893 6.2871 6.2841
102-04 6.2717 6.2694 6.2662
102-08 6.2541 6.2517 6.2484
102-12 6.2366 6.2340 6.2305
102-16 6.2191 6.2164 6.2127
Spread @ Center Price 105 105 105
WAL 9.54624 9.46153 9.35025
Mod Durn 6.928 6.881 6.818
Mod Convexity 0.579 0.571 0.561
Principal Window Aug07 to Apr09 Sep06 to Apr09 Jan06 to Apr09
Maturity #mos 119 119 119
Total Collat Loss 26,873,519.67 (2.27%) 51,974,425.42 (4.40%) 75,426,771.89 (6.38%)
Prepay At 0 CPR At 0 CPR At 0 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 1 CDR At 0 for 24 2 CDR At 0 for 24 3 CDR
Loss Severity 0.35 0.35 0.35
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
Optional Redemption
</TABLE>
(Table continued)
<TABLE>
<CAPTION>
0CPR; Ext0mo 100% 0% 0CPR; Ext0mo 100% 0%
Price rules; 0 for 24 4CDR,35% rules; 0 for 24 5CDR,35%
adv100% lag12; bp adv100% lag12; bp
<S> <C> <C>
100-16 6.4997 6.4984
100-20 6.4813 6.4798
100-24 6.4629 6.4613
100-28 6.4445 6.4427
101-00 6.4262 6.4242
101-04 6.4079 6.4057
101-08 6.3897 6.3873
101-12 6.3715 6.3688
101-16 6.3533 6.3504
101-20 6.3351 6.3321
101-24 6.3169 6.3137
101-28 6.2988 6.2954
102-00 6.2807 6.2771
102-04 6.2627 6.2589
102-08 6.2446 6.2407
102-12 6.2266 6.2225
102-16 6.2087 6.2043
Spread @ Center Price 105 105
WAL 9.22977 9.10435
Mod Durn 6.749 6.676
Mod Convexity 0.550 0.539
Principal Window Oct05 to Apr09 May05 to Apr09
Maturity #mos 119 119
Total Collat Loss 97,344,264.32 (8.24%) 117,831,328.11 (9.97%)
Prepay At 0 CPR At 0 CPR
No prepays
Lockout and penalties Include penalty Include penalty
Extension, if balloon None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 4 CDR At 0 for 24 5 CDR
Loss Severity 0.35 0.35
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
Optional Redemption
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials. Prospective investors are advised to carefully read,
and should rely solely on, the final prospectus and prospectus supplement (the
"Final Prospectus") relating to the certificates referred to herein (the
"Offered Certificates") in making their investment decision. These
Computational Materials have been based upon the assumptions described above,
which most likely will not represent the actual experience of the Mortgage Pool
in the future. No representation is made herein as to the actual rate or timing
of principal payments or prepayments on any of the underlying Mortgage Loans in
the Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
<PAGE>
FUNCM99C2_RED2, Class A2--Price/Yield
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.522 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079,
3YR=5.123333333, 5YR=5.212, 10YR=5.32, 30YR=5.701
<TABLE>
<CAPTION>
50CPR; Ext0mo 100% 0% 50CPR; Ext0mo 100% 0% 50CPR; Ext0mo 100% 0% rules; 50CPR; Ext0mo 100% 0%
rules; 0 for 24 rules; 0 for 24 2CDR,35% 0 for 24 3CDR,35% adv100% rules; 0 for 24 4CDR,35%
1CDR,35% adv100% adv100% lag12; bp lag12; bp adv100% lag12; bp
Price lag12; bp
Yield
<S> <C> <C> C> <C>
100-16 6.5092 6.5109 6.5122 6.5115
100-20 6.4905 6.4921 6.4931 6.4921
100-24 6.4720 6.4732 6.4740 6.4728
100-28 6.4534 6.4544 6.4550 6.4535
101-00 6.4349 6.4357 6.4359 6.4342
101-04 6.4164 6.4169 6.4169 6.4149
101-08 6.3980 6.3982 6.3980 6.3957
101-12 6.3795 6.3795 6.3790 6.3765
101-16 6.3611 6.3609 6.3601 6.3573
101-20 6.3427 6.3423 6.3413 6.3382
101-24 6.3244 6.3237 6.3224 6.3191
101-28 6.3061 6.3051 6.3036 6.3000
102-00 6.2878 6.2866 6.2848 6.2810
102-04 6.2695 6.2681 6.2660 6.2620
102-08 6.2513 6.2496 6.2473 6.2430
102-12 6.2331 6.2311 6.2286 6.2240
102-16 6.2149 6.2127 6.2099 6.2051
Spread @ Center Price 106 106 107 107
WAL 9.10811 8.95887 8.81032 8.66457
Mod Durn 6.675 6.586 6.496 6.409
Mod Convexity 0.539 0.526 0.513 0.501
Principal Window Sep04 to Mar09 May04 to Mar09 Feb04 to Apr09 Jan04 to Apr09
Maturity #mos 118 118 119 119
Total Collat Loss 24,471,041.79 (2.07%) 47,410,603.31 (4.01%) 68,918,039.36 (5.83%) 89,085,307.45 (7.54%)
Prepay At 50 CPR At 50 CPR At 50 CPR At 50 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 1 CDR At 0 for 24 2 CDR At 0 for 24 3 CDR At 0 for 24 4 CDR
Loss Severity 0.35 0.35 0.35 0.35
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption
</TABLE>
(Table continued)
<TABLE>
<CAPTION>
50CPR; Ext0mo 100% 0% rules;
0 for 24 5CDR,
Price 35% adv100% lag12; bp
<S> <C>
100-16 6.5113
100-20 6.4917
100-24 6.4721
100-28 6.4525
101-00 6.4329
101-04 6.4134
101-08 6.3939
101-12 6.3745
101-16 6.3551
101-20 6.3357
101-24 6.3163
101-28 6.2970
102-00 6.2777
102-04 6.2584
102-08 6.2392
102-12 6.2200
102-16 6.2008
Spread @ Center Price 107
WAL 8.52316
Mod Durn 6.324
Mod Convexity 0.489
Principal Window Nov03 to Apr09
Maturity #mos 119
Total Collat Loss 107,997,639.99 (9.14%)
Prepay At 50 CPR
No prepays
Lockout and penalties Include penalty
Extension, if balloon None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 5 CDR
Loss Severity 0.35
Servicer Advances 100% of P & I
Recovery Lag 12 mos
Optional Redemption
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials. Prospective investors are advised to carefully read,
and should rely solely on, the final prospectus and prospectus supplement (the
"Final Prospectus") relating to the certificates referred to herein (the
"Offered Certificates") in making their investment decision. These
Computational Materials have been based upon the assumptions described above,
which most likely will not represent the actual experience of the Mortgage Pool
in the future. No representation is made herein as to the actual rate or timing
of principal payments or prepayments on any of the underlying Mortgage Loans in
the Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED2, Class A2--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.522 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071,
3YR=5.12133333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
0CPR; Ext0mo 100% 0% 25CPR; Ext0mo 100% 0% 50CPR; Ext0mo 100% 0% 75CPR; Ext0mo 100% 0%
rules; 0CDR,0% adv100% rules; 0CDR,0% adv100% rules; 0CDR,0% adv100% rules; 0CDR,0% adv100%
lag0; bp and Loan lag0; bp and Loan lag0; bp and Loan lag0; bp and Loan
Price Yield
<S> <C> <C> <C> <C>
99-16 6.6427 6.6535 6.6530 6.6508
99-20 6.6267 6.6364 6.6351 6.6325
99-24 6.6108 6.6192 6.6172 6.6141
99-28 6.5949 6.6022 6.5993 6.5958
100-00 6.5790 6.5851 6.5815 6.5775
100-04 6.5631 6.5681 6.5637 6.5593
100-08 6.5473 6.5511 6.5459 6.5410
100-12 6.5315 6.5341 6.5281 6.5228
100-16 6.5157 6.5171 6.5104 6.5047
100-20 6.5000 6.5002 6.4927 6.4865
100-24 6.4843 6.4833 6.4750 6.4684
100-28 6.4686 6.4664 6.4574 6.4503
101-00 6.4529 6.4496 6.4398 6.4323
101-04 6.4372 6.4328 6.4222 6.4143
101-08 6.4216 6.4160 6.4047 6.3963
101-12 6.4060 6.3992 6.3871 6.3783
101-16 6.3905 6.3825 6.3696 6.3604
101-20 6.3749 6.3658 6.3522 6.3424
101-24 6.3594 6.3491 6.3347 6.3246
101-28 6.3439 6.3325 6.3173 6.3067
102-00 6.3284 6.3158 6.2999 6.2889
102-04 6.3130 6.2992 6.2825 6.2711
102-08 6.2975 6.2826 6.2652 6.2533
102-12 6.2821 6.2661 6.2479 6.2356
102-16 6.2668 6.2496 6.2306 6.2178
102-20 6.2514 6.2331 6.2134 6.2001
102-24 6.2361 6.2166 6.1961 6.1825
102-28 6.2208 6.2001 6.1789 6.1648
103-00 6.2055 6.1837 6.1618 6.1472
103-04 6.1902 6.1673 6.1446 6.1297
103-08 6.1750 6.1510 6.1275 6.1121
103-12 6.1598 6.1346 6.1104 6.0946
103-16 6.1446 6.1183 6.0933 6.0771
Spread @ Center Price 101 102 102 102
WAL 11.49116 10.39074 9.75619 9.42081
Mod Durn 7.888 7.340 7.019 6.847
Mod Convexity 0.775 0.664 0.602 0.569
Principal Window Dec08 to Apr11 Mar06 to Jan11 May05 to Jul10 Dec04 to Oct09
Maturity #mos 143 140 134 125
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Loan Overrides Apply
Prepay At 0 CPR At 25 CPR At 50 CPR At 75 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos
Optional Redemption
</TABLE>
(Table continued)
<TABLE>
<CAPTION>
100CPR; Ext0mo 100% 0% rules;
0CDR,0% adv100% lag0;
Price bp and Loan
<S> <C>
99-16 6.6512
99-20 6.6323
99-24 6.6134
99-28 6.5945
100-00 6.5757
100-04 6.5569
100-08 6.5381
100-12 6.5194
100-16 6.5007
100-20 6.4820
100-24 6.4634
100-28 6.4447
101-00 6.4261
101-04 6.4076
101-08 6.3890
101-12 6.3705
101-16 6.3521
101-20 6.3336
101-24 6.3152
101-28 6.2968
102-00 6.2784
102-04 6.2601
102-08 6.2418
102-12 6.2235
102-16 6.2053
102-20 6.1871
102-24 6.1689
102-28 6.1507
103-00 6.1326
103-04 6.1145
103-08 6.0964
103-12 6.0783
103-16 6.0603
Spread @ Center Price 102
WAL 9.04492
Mod Durn 6.648
Mod Convexity 0.532
Principal Window Sep04 to Jan09
Maturity #mos 116
Total Collat Loss 0.00 (0.00%)
Loan Overrides Apply
Prepay At 100 CPR
No prepays
Lockout and penalties Include penalty
Extension, if balloon None
Increase Coupon
Pay Exten Princ
Default At 0 CDR
Loss Severity 0
Servicer Advances 100% of P & I
Recovery Lag 0 mos
Optional Redemption
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials. Prospective investors are advised to carefully read,
and should rely solely on, the final prospectus and prospectus supplement (the
"Final Prospectus") relating to the certificates referred to herein (the
"Offered Certificates") in making their investment decision. These
Computational Materials have been based upon the assumptions described above,
which most likely will not represent the actual experience of the Mortgage Pool
in the future. No representation is made herein as to the actual rate or timing
of principal payments or prepayments on any of the underlying Mortgage Loans in
the Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
<PAGE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials. Prospective investors are advised to carefully read,
and should rely solely on, the final prospectus and prospectus supplement (the
"Final Prospectus") relating to the certificates referred to herein (the
"Offered Certificates") in making their investment decision. These
Computational Materials have been based upon the assumptions described above,
which most likely will not represent the actual experience of the Mortgage Pool
in the future. No representation is made herein as to the actual rate or timing
of principal payments or prepayments on any of the underlying Mortgage Loans in
the Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
<TABLE>
<CAPTION>
FUNCM99C2_RED2, Class A2
<S> <C> <C> <C> <C> <C>
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.522 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX WAL 11.49116 yrs
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071,
3YR=5.12133333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
Loan Overrides Apply
Prepay: At 0 CPR No prepays: Lockout and penalties: Include penalty
Default: At 0 CDR Loss Severity: 0% Servicer Advances: 100% of P & I
Recovery Lag: 0 mos
Extension, if balloon: None Increase Coupon: Pay Exten Princ:
Optional Redemption:
<TABLE>
<CAPTION>
PerDate Principal Interest Cash Flow Balance Prepay Penalty Princ Writedown
<S> <C> <C> <C> <C> <C> <C>
0. May 20, 99 0.00 0.00 0.00 673,785,678.00 0.00 0.00
1. Jun 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
2. Jul 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
3. Aug 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
4. Sep 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
5. Oct 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
6. Nov 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
7. Dec 15, 99 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
8. Jan 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
9. Feb 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
10. Mar 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
11. Apr 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
12. May 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
13. Jun 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
14. Jul 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
15. Aug 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
16. Sep 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
17. Oct 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
18. Nov 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
19. Dec 15, 00 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
20. Jan 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
21. Feb 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
22. Mar 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
23. Apr 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
24. May 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
25. Jun 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
26. Jul 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
27. Aug 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
28. Sep 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
29. Oct 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
30. Nov 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
31. Dec 15, 01 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
32. Jan 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
33. Feb 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
34. Mar 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
35. Apr 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
36. May 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
37. Jun 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
38. Jul 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
39. Aug 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
40. Sep 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
41. Oct 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
42. Nov 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
43. Dec 15, 02 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
44. Jan 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
45. Feb 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
46. Mar 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
47. Apr 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
48. May 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
49. Jun 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
50. Jul 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
51. Aug 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
52. Sep 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
53. Oct 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
54. Nov 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
55. Dec 15, 03 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
56. Jan 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
57. Feb 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
58. Mar 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
59. Apr 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
60. May 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
61. Jun 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
62. Jul 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
63. Aug 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
64. Sep 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
65. Oct 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
66. Nov 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
67. Dec 15, 04 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
68. Jan 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
69. Feb 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
70. Mar 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
71. Apr 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
72. May 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
73. Jun 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
74. Jul 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
75. Aug 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
76. Sep 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
77. Oct 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
78. Nov 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
79. Dec 15, 05 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
80. Jan 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
81. Feb 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
82. Mar 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
83. Apr 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
84. May 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
85. Jun 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
86. Jul 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
87. Aug 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
88. Sep 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
89. Oct 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
90. Nov 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
91. Dec 15, 06 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
92. Jan 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
93. Feb 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
94. Mar 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
95. Apr 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
96. May 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
97. Jun 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
98. Jul 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
99. Aug 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
100. Sep 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
101. Oct 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0.00 0.00
102. Nov 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
103. Dec 15, 07 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
104. Jan 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
105. Feb 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
106. Mar 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
107. Apr 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
108. May 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
109. Jun 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
110. Jul 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
111. Aug 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
112. Sep 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
113. Oct 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
114. Nov 15, 08 0.00 3,662,025.16 3,662,025.16 673,785,678.00 0 0
115. Dec 15, 08 1,020,221.42 3,662,025.16 4,682,246.58 672765456.6 0 0
116. Jan 15, 09 2018786.04 3656480.26 5675266.3 670746670.5 0 0
117. Feb 15, 09 2,031,492.40 3,645,508.15 5,677,000.55 668715178.1 0.00 0
118. Mar 15, 09 2577330.56 3634466.99 6211797.56 666137847.6 0 0
119. Apr 15, 09 2060532 3620459.2 5680991.2 664077315.6 0 0
120. May 15, 09 2250371.37 3609260.21 5859631.58 661826944.2 0 0
121. Jun 15, 09 2576702.61 3597029.44 6173732.06 659250241.6 0 0
122. Jul 15, 09 2276937.97 3583025.06 5859963.04 656973303.6 0 0
123. Aug 15, 09 2115165.9 3570649.91 5685815.8 654858137.7 0 0
124. Sep 15, 09 2128482.71 3559153.98 5687636.69 652729655 0 0
125. Oct 15, 09 2316872.29 3547585.68 5864457.96 650412782.7 0 0
126. Nov 15, 09 2156481.07 3534993.47 5691474.54 648256301.7 0 0
127. Dec 15, 09 2643579.55 3523273 6166852.55 645612722.1 0 0
128. Jan 15, 10 2184830.33 3508905.14 5693735.48 643427891.8 0 0
129. Feb 15, 10 2198588.41 3497030.59 5695619 641229303.4 0 0
130. Mar 15, 10 2731579.34 3485081.26 6216660.61 638497724 0 0
131. Apr 15, 10 2229663.19 3470235.13 5699898.32 636268060.8 0 0
132. May 15, 10 7348486.93 3458116.91 10806603.84 628919573.9 0 0
133. Jun 15, 10 26991009.74 3418177.88 30409187.63 601928564.2 0 0
134. Jul 15, 10 44700396.81 3271481.75 47971878.56 557228167.4 0 0
135. Aug 15, 10 16697803.77 3028535.09 19726338.86 540530363.6 0 0
136. Sep 15, 10 16229208.25 2937782.53 19166990.78 524301155.3 0 0
137. Oct 15, 10 43046511.89 2849576.78 45896088.67 481254643.4 0 0
138. Nov 15, 10 89822359.74 2615618.99 92437978.73 391432283.7 0 0
139. Dec 15, 10 127592744.6 2127434.46 129720179.1 263839539.1 0 0
140. Jan 15, 11 52475656.55 1433967.89 53909624.44 211363882.5 0 0
141. Feb 15, 11 37952629.74 1148762.7 39101392.44 173411252.8 0 0
142. Mar 15, 11 141545095.1 942490.16 142487585.2 31866157.75 0 0
143. Apr 15, 11 31866157.75 173192.57 32039350.32 0 0 0
Total 673785678 505581168.6 1179366847 0 0
</TABLE>
(Table continued)
<TABLE>
<CAPTION>
PerDate Accrued Interest Interest Coupon
Shortfall
<S> <C> <C> <C>
0. May 20, 99 0.00 0.00 0.000000
1. Jun 15, 99 3,662,025.16 0.00 6.522000
2. Jul 15, 99 3,662,025.16 0.00 6.522000
3. Aug 15, 99 3,662,025.16 0.00 6.522000
4. Sep 15, 99 3,662,025.16 0.00 6.522000
5. Oct 15, 99 3,662,025.16 0.00 6.522000
6. Nov 15, 99 3,662,025.16 0.00 6.522000
7. Dec 15, 99 3,662,025.16 0.00 6.522000
8. Jan 15, 00 3,662,025.16 0.00 6.522000
9. Feb 15, 00 3,662,025.16 0.00 6.522000
10. Mar 15, 00 3,662,025.16 0.00 6.522000
11. Apr 15, 00 3,662,025.16 0.00 6.522000
12. May 15, 00 3,662,025.16 0.00 6.522000
13. Jun 15, 00 3,662,025.16 0.00 6.522000
14. Jul 15, 00 3,662,025.16 0.00 6.522000
15. Aug 15, 00 3,662,025.16 0.00 6.522000
16. Sep 15, 00 3,662,025.16 0.00 6.522000
17. Oct 15, 00 3,662,025.16 0.00 6.522000
18. Nov 15, 00 3,662,025.16 0.00 6.522000
19. Dec 15, 00 3,662,025.16 0.00 6.522000
20. Jan 15, 01 3,662,025.16 0.00 6.522000
21. Feb 15, 01 3,662,025.16 0.00 6.522000
22. Mar 15, 01 3,662,025.16 0.00 6.522000
23. Apr 15, 01 3,662,025.16 0.00 6.522000
24. May 15, 01 3,662,025.16 0.00 6.522000
25. Jun 15, 01 3,662,025.16 0.00 6.522000
26. Jul 15, 01 3,662,025.16 0.00 6.522000
27. Aug 15, 01 3,662,025.16 0.00 6.522000
28. Sep 15, 01 3,662,025.16 0.00 6.522000
29. Oct 15, 01 3,662,025.16 0.00 6.522000
30. Nov 15, 01 3,662,025.16 0.00 6.522000
31. Dec 15, 01 3,662,025.16 0.00 6.522000
32. Jan 15, 02 3,662,025.16 0.00 6.522000
33. Feb 15, 02 3,662,025.16 0.00 6.522000
34. Mar 15, 02 3,662,025.16 0.00 6.522000
35. Apr 15, 02 3,662,025.16 0.00 6.522000
36. May 15, 02 3,662,025.16 0.00 6.522000
37. Jun 15, 02 3,662,025.16 0.00 6.522000
38. Jul 15, 02 3,662,025.16 0.00 6.522000
39. Aug 15, 02 3,662,025.16 0.00 6.522000
40. Sep 15, 02 3,662,025.16 0.00 6.522000
41. Oct 15, 02 3,662,025.16 0.00 6.522000
42. Nov 15, 02 3,662,025.16 0.00 6.522000
43. Dec 15, 02 3,662,025.16 0.00 6.522000
44. Jan 15, 03 3,662,025.16 0.00 6.522000
45. Feb 15, 03 3,662,025.16 0.00 6.522000
46. Mar 15, 03 3,662,025.16 0.00 6.522000
47. Apr 15, 03 3,662,025.16 0.00 6.522000
48. May 15, 03 3,662,025.16 0.00 6.522000
49. Jun 15, 03 3,662,025.16 0.00 6.522000
50. Jul 15, 03 3,662,025.16 0.00 6.522000
51. Aug 15, 03 3,662,025.16 0.00 6.522000
52. Sep 15, 03 3,662,025.16 0.00 6.522000
53. Oct 15, 03 3,662,025.16 0.00 6.522000
54. Nov 15, 03 3,662,025.16 0.00 6.522000
55. Dec 15, 03 3,662,025.16 0.00 6.522000
56. Jan 15, 04 3,662,025.16 0.00 6.522000
57. Feb 15, 04 3,662,025.16 0.00 6.522000
58. Mar 15, 04 3,662,025.16 0.00 6.522000
59. Apr 15, 04 3,662,025.16 0.00 6.522000
60. May 15, 04 3,662,025.16 0.00 6.522000
61. Jun 15, 04 3,662,025.16 0.00 6.522000
62. Jul 15, 04 3,662,025.16 0.00 6.522000
63. Aug 15, 04 3,662,025.16 0.00 6.522000
64. Sep 15, 04 3,662,025.16 0.00 6.522000
65. Oct 15, 04 3,662,025.16 0.00 6.522000
66. Nov 15, 04 3,662,025.16 0.00 6.522000
67. Dec 15, 04 3,662,025.16 0.00 6.522000
68. Jan 15, 05 3,662,025.16 0.00 6.522000
69. Feb 15, 05 3,662,025.16 0.00 6.522000
70. Mar 15, 05 3,662,025.16 0.00 6.522000
71. Apr 15, 05 3,662,025.16 0.00 6.522000
72. May 15, 05 3,662,025.16 0.00 6.522000
73. Jun 15, 05 3,662,025.16 0.00 6.522000
74. Jul 15, 05 3,662,025.16 0.00 6.522000
75. Aug 15, 05 3,662,025.16 0.00 6.522000
76. Sep 15, 05 3,662,025.16 0.00 6.522000
77. Oct 15, 05 3,662,025.16 0.00 6.522000
78. Nov 15, 05 3,662,025.16 0.00 6.522000
79. Dec 15, 05 3,662,025.16 0.00 6.522000
80. Jan 15, 06 3,662,025.16 0.00 6.522000
81. Feb 15, 06 3,662,025.16 0.00 6.522000
82. Mar 15, 06 3,662,025.16 0.00 6.522000
83. Apr 15, 06 3,662,025.16 0.00 6.522000
84. May 15, 06 3,662,025.16 0.00 6.522000
85. Jun 15, 06 3,662,025.16 0.00 6.522000
86. Jul 15, 06 3,662,025.16 0.00 6.522000
87. Aug 15, 06 3,662,025.16 0.00 6.522000
88. Sep 15, 06 3,662,025.16 0.00 6.522000
89. Oct 15, 06 3,662,025.16 0.00 6.522000
90. Nov 15, 06 3,662,025.16 0.00 6.522000
91. Dec 15, 06 3,662,025.16 0.00 6.522000
92. Jan 15, 07 3,662,025.16 0.00 6.522000
93. Feb 15, 07 3,662,025.16 0.00 6.522000
94. Mar 15, 07 3,662,025.16 0.00 6.522000
95. Apr 15, 07 3,662,025.16 0.00 6.522000
96. May 15, 07 3,662,025.16 0.00 6.522000
97. Jun 15, 07 3,662,025.16 0.00 6.522000
98. Jul 15, 07 3,662,025.16 0.00 6.522000
99. Aug 15, 07 3,662,025.16 0.00 6.522000
100. Sep 15, 07 3,662,025.16 0.00 6.522000
101. Oct 15, 07 3,662,025.16 0.00 6.522000
102. Nov 15, 07 3,662,025.16 0 6.522
103. Dec 15, 07 3,662,025.16 0 6.522
104. Jan 15, 08 3,662,025.16 0 6.522
105. Feb 15, 08 3,662,025.16 0 6.522
106. Mar 15, 08 3,662,025.16 0 6.522
107. Apr 15, 08 3,662,025.16 0 6.522
108. May 15, 08 3,662,025.16 0 6.522
109. Jun 15, 08 3,662,025.16 0 6.522
110. Jul 15, 08 3,662,025.16 0 6.522
111. Aug 15, 08 3,662,025.16 0 6.522
112. Sep 15, 08 3,662,025.16 0 6.522
113. Oct 15, 08 3,662,025.16 0 6.522
114. Nov 15, 08 3,662,025.16 0 6.522
115. Dec 15, 08 3,662,025.16 0 6.522
116. Jan 15, 09 3656480.26 0 6.522
117. Feb 15, 09 3,645,508.15 0 6.522
118. Mar 15, 09 3634466.99 0 6.522
119. Apr 15, 09 3620459.2 0 6.522
120. May 15, 09 3609260.21 0 6.522
121. Jun 15, 09 3597029.44 0 6.522
122. Jul 15, 09 3583025.06 0 6.522
123. Aug 15, 09 3570649.91 0 6.522
124. Sep 15, 09 3559153.98 0 6.522
125. Oct 15, 09 3547585.68 0 6.522
126. Nov 15, 09 3534993.47 0 6.522
127. Dec 15, 09 3523273 0 6.522
128. Jan 15, 10 3508905.14 0 6.522
129. Feb 15, 10 3497030.59 0 6.522
130. Mar 15, 10 3485081.26 0 6.522
131. Apr 15, 10 3470235.13 0 6.522
132. May 15, 10 3458116.91 0 6.522
133. Jun 15, 10 3418177.88 0 6.522
134. Jul 15, 10 3271481.75 0 6.522
135. Aug 15, 10 3028535.09 0 6.522
136. Sep 15, 10 2937782.53 0 6.522
137. Oct 15, 10 2849576.78 0 6.522
138. Nov 15, 10 2615618.99 0 6.522
139. Dec 15, 10 2127434.46 0 6.522
140. Jan 15, 11 1433967.89 0 6.522
141. Feb 15, 11 1148762.7 0 6.522
142. Mar 15, 11 942490.16 0 6.522
143. Apr 15, 11 173192.57 0 6.522
Total 505581168.6 0
</TABLE>
<PAGE>
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
FUNCM99C2_RED, CLASS IO--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 0.0025
Delay 14
Stated Maturity N/A
Type SEN WAC IO
- -------------------------------------------------------
- -------------------------------------------------------
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- ------------------------------------ ------------------- ------------------- ------------------- -------------------
0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100%
0% RULES; 0CDR, 0% RULES; 0% RULES; 0% RULES;
25% ADV100% 1CDR, 25% ADV100% 2CDR, 25% ADV100% 3CDR, 25% ADV100%
PRICE LAG12; BP LAG12; BP LAG12; BP LAG12; BP
Yield
- ------------------------------------ ------------------- ------------------- ------------------- -------------------
<S> <C> <C> <C> <C>
5-00+ 10.2327 9.1267 8.0049 6.8703
5-01 10.1568 9.0508 7.9290 6.7943
5-01+ 10.0813 8.9753 7.8535 6.7187
5-02 10.0061 8.9002 7.7783 6.6434
5-02+ 9.9314 8.8255 7.7036 6.5686
5-03 9.8570 8.7512 7.6292 6.4942
5-03+ 9.7830 8.6772 7.5552 6.4201
5-04 9.7094 8.6036 7.4816 6.3464
5-04+ 9.6361 8.5304 7.4084 6.2731
5-05 9.5632 8.4576 7.3355 6.2001
5-05+ 9.4907 8.3851 7.2630 6.1276
5-06 9.4185 8.3130 7.1909 6.0553
5-06+ 9.3467 8.2413 7.1191 5.9835
5-07 9.2752 8.1699 7.0477 5.9120
5-07+ 9.2041 8.0988 6.9766 5.8409
5-08 9.1334 8.0281 6.9059 5.7701
5-08+ 9.0630 7.9578 6.8355 5.6996
- ------------------------------------ ------------------- ------------------- ------------------- -------------------
- ------------------------------------ ------------------- ------------------- ------------------- -------------------
Spread @ Center Price 429 320 209 96
WAL 9.48647 9.09821 8.73210 8.38665
Mod Durn 4.119 4.122 4.120 4.116
Mod Convexity 0.265 0.267 0.267 0.267
Jun99 to
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Feb29
Maturity #mos 357 357 357 357
24,628,553.98 47,226,544.33 67,962,993.52
Total Collat Loss 0.00 (0.00%) (2.08%) (4.00%) (5.75%)
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 1 CDR At 2 CDR At 3 CDR
Loss Severity 0.25 0.25 0.25 25%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
(table continued)
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
50CPR YM; 100CPR YM; 100CPR;
0CPR; EXT0MO 100% EXT0MO 100% 0% EXT0MO 100% 0% EXT0MO 100% 0%
0% RULES; 0CDR,0% RULES; 0CDR,0% RULES; 0CDR,0% RULES; 0CDR,0%
PRICE ADV100% LAG12; 0BP ADV100% LAG12; 0BP ADV100% LAG12; 0BP ADV100% LAG0; BP
Yield Yield
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
5-00+ 10.2327 10.1330 9.8897 11.0950
5-01 10.1568 10.0565 9.8128 11.0074
5-01+ 10.0813 9.9804 9.7362 10.9203
5-02 10.0061 9.9048 9.6600 10.8336
5-02+ 9.9314 9.8295 9.5843 10.7474
5-03 9.8570 9.7546 9.5089 10.6617
5-03+ 9.7830 9.6800 9.4339 10.5764
5-04 9.7094 9.6059 9.3592 10.4916
5-04+ 9.6361 9.5321 9.2849 10.4072
5-05 9.5632 9.4587 9.2110 10.3232
5-05+ 9.4907 9.3856 9.1375 10.2397
5-06 9.4185 9.3129 9.0643 10.1566
5-06+ 9.3467 9.2406 8.9915 10.0740
5-07 9.2752 9.1686 8.9191 9.9917
5-07+ 9.2041 9.0969 8.8470 9.9099
5-08 9.1334 9.0256 8.7752 9.8285
5-08+ 9.0630 8.9547 8.7038 9.7476
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
Spread @ Center Price 429 419 395 509
WAL 9.48647 9.41364 9.24419 8.48529
Mod Durn 4.119 4.089 4.063 3.576
Mod Convexity 0.265 0.259 0.255 0.207
Principal Window Jun99 to Feb29 Jun99 to Jul27 Jun99 to Sep23 Jun99 to Sep23
Maturity #mos 357 338 292 292
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 50 CPR At 100 CPR At 100 CPR
No prepays During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 0 mos
Optional Redemption
Shock (bp) 0 0 0
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
(table continued)
- ------------------------------------ --------------------- -------------------- -------------------- --------------------
100CPR; EXT0MO 100% 25CPR NOP; 50CPR NOP; 100CPR NOP;
0% RULES; 0CDR,0% EXT0MO 100% 0% EXT0MO 100% 0% EXT0MO 100% 0%
ADV100% LAG0; 200BP RULES; 0CDR,0% RULES; 0CDR,0% RULES; 0CDR,0%
PRICE ADV100% LAG12; 0BP ADV100% LAG12; 0BP ADV100% LAG12; 0BP
Yield Yield
- ------------------------------------ --------------------- -------------------- -------------------- --------------------
5-00+ 8.4535 8.8844 8.3354 7.5314
5-01 8.3756 8.8080 8.2595 7.4565
5-01+ 8.2982 8.7320 8.1840 7.3819
5-02 8.2212 8.6564 8.1089 7.3078
5-02+ 8.1446 8.5812 8.0342 7.2340
5-03 8.0684 8.5064 7.9599 7.1605
5-03+ 7.9925 8.4319 7.8859 7.0875
5-04 7.9171 8.3579 7.8123 7.0148
5-04+ 7.8420 8.2842 7.7391 6.9425
5-05 7.7673 8.2108 7.6662 6.8705
5-05+ 7.6930 8.1379 7.5937 6.7989
5-06 7.6190 8.0653 7.5216 6.7277
5-06+ 7.5455 7.9930 7.4498 6.6568
5-07 7.4722 7.9211 7.3784 6.5862
5-07+ 7.3994 7.8496 7.3073 6.5160
5-08 7.3269 7.7784 7.2366 6.4462
5-08+ 7.2548 7.7076 7.1662 6.3767
- ------------------------------------ --------------------- -------------------- -------------------- --------------------
- ------------------------------------ --------------------- -------------------- -------------------- --------------------
Spread @ Center Price 53 296 242 163
WAL 8.48529 8.95024 8.77285 8.48529
Mod Durn 4.019 4.094 4.121 4.172
Mod Convexity 0.254 0.261 0.265 0.271
Principal Window Jun99 to Sep23 Jun99 to Feb29 Jun99 to Dec26 Jun99 to Sep23
Maturity #mos 292 357 331 292
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 100 CPR At 25 CPR At 50 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Exclude penalty Exclude penalty Exclude penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0% 0% 0% 0%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 12 mos 12 mos 12 mos
Optional Redemption
Shock (bp) 200 0 0 0
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
50CPR YM 2PT; 0CPR; EXT0MO 100%
EXT0MO 100% 0% 0CPR; EXT0MO 100% 0% RULES;
RULES; 0CDR,0% 0% RULES; 1CDR,25% 1CDR,35% ADV100%
PRICE ADV100% LAG12; 0BP ADV100% LAG12; BP LAG12; BP
Yield
- ------------------------------------- -------------------- -------------------- -------------------
5-00+ 10.1330 9.1267 9.0393
5-01 10.0565 9.0508 8.9633
5-01+ 9.9804 8.9753 8.8877
5-02 9.9048 8.9002 8.8125
5-02+ 9.8295 8.8255 8.7377
5-03 9.7546 8.7512 8.6633
5-03+ 9.6800 8.6772 8.5892
5-04 9.6059 8.6036 8.5155
5-04+ 9.5321 8.5304 8.4422
5-05 9.4587 8.4576 8.3692
5-05+ 9.3856 8.3851 8.2966
5-06 9.3129 8.3130 8.2244
5-06+ 9.2406 8.2413 8.1526
5-07 9.1686 8.1699 8.0811
5-07+ 9.0969 8.0988 8.0099
5-08 9.0256 8.0281 7.9391
5-08+ 8.9547 7.9578 7.8686
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 419 320 311
WAL 9.41364 9.09821 9.09821
Mod Durn 4.089 4.122 4.116
Mod Convexity 0.259 0.267 0.266
Principal Window Jun99 to Jul27 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 338 357 357
0.00 (0.00%) 24,628,553.98 34,478,782.06
Total Collat Loss (2.08%) (2.92%)
Prepay At 50 CPR At 0 CPR At 0 CPR
During pts>2, any
No prepays YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 1 CDR At 1 CDR
Loss Severity 0% 0.25 0.35
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
Optional Redemption
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
FUNCM99C2_RED, CLASS A2--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.58
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.1213333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- ------------------------------------- -------------------- -------------------- -------------------- --------------------
0CPR; EXT0MO 100% 10CPR; EXT0MO 100% 15CPR; EXT0MO 100% 25CPR; EXT0MO 100%
0% RULES; 3CDR, 0% RULES; 3CDR, 0% RULES; 3CDR, 0% RULES; 3CDR,
40% ADV100% LAG12; 40% ADV100% LAG12; 40% ADV100% LAG12; 40% ADV100% LAG12;
PRICE BP BP BP BP
Yield
- ------------------------------------- -------------------- -------------------- -------------------- --------------------
<S> <C> <C> <C> <C>
100-30+ 6.4924 6.5035 6.5075 6.5119
101-00+ 6.4833 6.4941 6.4981 6.5024
101-02+ 6.4742 6.4848 6.4887 6.4929
101-04+ 6.4650 6.4755 6.4793 6.4834
101-06+ 6.4559 6.4662 6.4700 6.4739
101-08+ 6.4468 6.4569 6.4606 6.4645
101-10+ 6.4377 6.4476 6.4513 6.4550
101-12+ 6.4286 6.4384 6.4419 6.4455
101-14+ 6.4195 6.4291 6.4326 6.4361
101-16+ 6.4104 6.4198 6.4232 6.4267
101-18+ 6.4013 6.4106 6.4139 6.4172
101-20+ 6.3922 6.4013 6.4046 6.4078
101-22+ 6.3831 6.3921 6.3953 6.3984
101-24+ 6.3741 6.3829 6.3860 6.3890
101-26+ 6.3650 6.3736 6.3767 6.3795
101-28+ 6.3560 6.3644 6.3674 6.3701
101-30+ 6.3469 6.3552 6.3581 6.3608
- ------------------------------------- -------------------- -------------------- -------------------- --------------------
- ------------------------------------- -------------------- -------------------- -------------------- --------------------
Spread @ Center Price 108 110 110 111
WAL 9.26884 9.05664 8.97378 8.84705
Mod Durn 6.751 6.626 6.576 6.498
Mod Convexity 0.551 0.532 0.525 0.514
Principal Window Sep05 to Apr09 Nov04 to Apr09 Jul04 to Apr09 Mar04 to Apr09
Maturity #mos 119 119 119 119
108,735,772.49 105,915,872.23 104,954,962.89 103,561,118.73
Total Collat Loss (9.20%) (8.96%) (8.88%) (8.77%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 3 CDR At 3 CDR At 3 CDR At 3 CDR
Loss Severity 0.4 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
100CPR;
50CPR; EXT0MO 100% 75CPR; EXT0MO 100% EXT0MO 100%
0% RULES; 3CDR, 0% RULES; 3CDR, 0% RULES; 3CDR,
40% ADV100% LAG12; 40% ADV100% LAG12; 40% ADV100%
PRICE BP BP LAG12; BP
- ------------------------------------- -------------------- -------------------- -------------------
100-30+ 6.5064 6.4980 6.4809
101-00+ 6.4967 6.4883 6.4711
101-02+ 6.4871 6.4785 6.4612
101-04+ 6.4774 6.4688 6.4514
101-06+ 6.4678 6.4591 6.4415
101-08+ 6.4582 6.4494 6.4317
101-10+ 6.4485 6.4397 6.4219
101-12+ 6.4389 6.4301 6.4121
101-14+ 6.4293 6.4204 6.4023
101-16+ 6.4197 6.4107 6.3925
101-18+ 6.4101 6.4011 6.3827
101-20+ 6.4006 6.3914 6.3729
101-22+ 6.3910 6.3818 6.3631
101-24+ 6.3814 6.3721 6.3533
101-26+ 6.3719 6.3625 6.3436
101-28+ 6.3623 6.3529 6.3338
101-30+ 6.3528 6.3433 6.3241
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 111 110 109
WAL 8.68102 8.60550 8.44719
Mod Durn 6.395 6.349 6.264
Mod Convexity 0.501 0.495 0.481
Principal Window Sep03 to Apr09 Apr03 to Apr09 Nov02 to Feb09
Maturity #mos 119 119 117
101,683,720.53 100,775,683.14 99,836,075.50
Total Collat Loss (8.61%) (8.53%) (8.45%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 3 CDR At 3 CDR At 3 CDR
Loss Severity 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS A2--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.58
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.1213333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
0CPR; EXT0MO 100% 10CPR; EXT0MO 100% 15CPR; EXT0MO 25CPR; EXT0MO 100%
0% RULES; 0 FOR 24 0% RULES; 0 FOR 24 100% 0% RULES; 0 0% RULES; 0 FOR 24
3CDR,40% ADV100% 3CDR,40% ADV100% FOR 24 3CDR,40% 3CDR,40% ADV100%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP LAG12; BP
Yield
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
100-30+ 6.4943 6.5015 6.5041 6.5066
101-00+ 6.4852 6.4923 6.4949 6.4972
101-02+ 6.4762 6.4831 6.4856 6.4879
101-04+ 6.4671 6.4739 6.4764 6.4785
101-06+ 6.4581 6.4647 6.4671 6.4692
101-08+ 6.4490 6.4556 6.4579 6.4598
101-10+ 6.4400 6.4464 6.4487 6.4505
101-12+ 6.4310 6.4372 6.4394 6.4412
101-14+ 6.4220 6.4281 6.4302 6.4319
101-16+ 6.4130 6.4189 6.4210 6.4226
101-18+ 6.4040 6.4098 6.4118 6.4133
101-20+ 6.3950 6.4007 6.4026 6.4040
101-22+ 6.3861 6.3915 6.3935 6.3947
101-24+ 6.3771 6.3824 6.3843 6.3855
101-26+ 6.3681 6.3733 6.3751 6.3762
101-28+ 6.3592 6.3642 6.3659 6.3669
101-30+ 6.3502 6.3551 6.3568 6.3577
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
Spread @ Center Price 108 109 110 110
WAL 9.38847 9.19669 9.12251 9.00875
Mod Durn 6.820 6.710 6.666 6.599
Mod Convexity 0.562 0.545 0.538 0.528
Principal Window Mar06 to Apr09 Aug05 to Apr09 Apr05 to Apr09 Nov04 to Apr09
Maturity #mos 119 119 119 119
86,199,776.78 83,213,100.25 82,197,087.83 80,726,539.55
Total Collat Loss (7.30%) (7.04%) (6.96%) (6.83%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 3 CDR At 0 for 24 3 CDR At 0 for 24 3 CDR At 0 for 24 3 CDR
Loss Severity 0.4 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
(table continued)
- ------------------------------------ --------------------- -------------------- -------------------
50CPR; EXT0MO 100% 75CPR; EXT0MO 100% 100CPR; EXT0MO
0% RULES; 0 FOR 24 0% RULES; 0 FOR 24 100% 0% RULES; 0
3CDR,40% ADV100% 3CDR,40% ADV100% FOR 24 3CDR,40%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP
- ------------------------------------ --------------------- -------------------- -------------------
100-30+ 6.5023 6.4921 6.4848
101-00+ 6.4928 6.4826 6.4751
101-02+ 6.4833 6.4730 6.4655
101-04+ 6.4738 6.4635 6.4558
101-06+ 6.4643 6.4540 6.4462
101-08+ 6.4549 6.4445 6.4365
101-10+ 6.4454 6.4350 6.4269
101-12+ 6.4360 6.4255 6.4173
101-14+ 6.4265 6.4160 6.4077
101-16+ 6.4171 6.4065 6.3981
101-18+ 6.4077 6.3970 6.3885
101-20+ 6.3983 6.3875 6.3789
101-22+ 6.3889 6.3781 6.3693
101-24+ 6.3795 6.3686 6.3597
101-26+ 6.3701 6.3592 6.3502
101-28+ 6.3607 6.3497 6.3406
101-30+ 6.3513 6.3403 6.3310
- ------------------------------------ --------------------- -------------------- -------------------
- ------------------------------------ --------------------- -------------------- -------------------
Spread @ Center Price 110 109 109
WAL 8.85851 8.79481 8.64299
Mod Durn 6.507 6.470 6.389
Mod Convexity 0.515 0.510 0.496
Principal Window Mar04 to Apr09 Dec03 to Mar09 Oct03 to Feb09
Maturity #mos 119 118 117
78,761,462.34 77,835,089.19 76,972,055.36
Total Collat Loss (6.67%) (6.59%) (6.51%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 3 CDR At 0 for 24 3 CDR At 0 for 24 3 CDR
Loss Severity 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS IO--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 0.0025
Delay 14
Stated Maturity N/A
Type SEN WAC IO
- -------------------------------------------------------
- -------------------------------------------------------
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.1213333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
15CPR; EXT0MO
0CPR; EXT0MO 100% 10CPR; EXT0MO 100% 100% 0% RULES; 25CPR; EXT0MO 100%
0% RULES; 3CDR,40% 0% RULES; 3CDR,40% 3CDR,40% ADV100% 0% RULES; 3CDR,40%
PRICE ADV100% LAG12; BP ADV100% LAG12; BP LAG12; BP ADV100% LAG12; BP
Yield
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
4-20+ 8.1410 8.5716 8.7329 8.9833
4-22+ 7.7890 8.2117 8.3695 8.6140
4-24+ 7.4448 7.8596 8.0142 8.2529
4-26+ 7.1079 7.5152 7.6665 7.8995
4-28+ 6.7782 7.1780 7.3262 7.5538
4-30+ 6.4554 6.8479 6.9930 7.2153
5-00+ 6.1393 6.5246 6.6668 6.8838
5-02+ 5.8296 6.2079 6.3471 6.5591
5-04+ 5.5260 5.8976 6.0339 6.2410
5-06+ 5.2285 5.5933 5.7269 5.9292
5-08+ 4.9368 5.2950 5.4259 5.6235
5-10+ 4.6507 5.0025 5.1307 5.3237
5-12+ 4.3700 4.7155 4.8411 5.0296
5-14+ 4.0946 4.4339 4.5569 4.7411
5-16+ 3.8243 4.1574 4.2780 4.4580
5-18+ 3.5589 3.8861 4.0043 4.1801
5-20+ 3.2984 3.6196 3.7354 3.9072
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
Spread @ Center Price 21 59 73 94
WAL 8.38665 8.15082 8.07175 7.95868
Mod Durn 4.007 3.918 3.883 3.823
Mod Convexity 0.248 0.237 0.233 0.227
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357 357
108,735,772.49 105,915,872.23 104,954,962.89 103,561,118.73
Total Collat Loss (9.20%) (8.96%) (8.88%) (8.77%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 3 CDR At 3 CDR At 3 CDR At 3 CDR
Loss Severity 0.4 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
- ------------------------------------ --------------------- -------------------- -------------------
(table continued)
- ------------------------------------ --------------------- -------------------- -------------------
100CPR; EXT0MO
50CPR; EXT0MO 100% 75CPR; EXT0MO 100% 100% 0% RULES;
0% RULES; 3CDR,40% 0% RULES; 3CDR,40% 3CDR,40% ADV100%
PRICE ADV100% LAG12; BP ADV100% LAG12; BP LAG12; BP
- ------------------------------------ --------------------- -------------------- -------------------
4-20+ 9.3765 9.5919 9.7187
4-22+ 8.9958 9.2030 9.3156
4-24+ 8.6236 8.8228 8.9217
4-26+ 8.2596 8.4511 8.5368
4-28+ 7.9035 8.0874 8.1605
4-30+ 7.5549 7.7316 7.7924
5-00+ 7.2136 7.3833 7.4323
5-02+ 6.8794 7.0423 7.0799
5-04+ 6.5520 6.7084 6.7349
5-06+ 6.2312 6.3812 6.3970
5-08+ 5.9167 6.0606 6.0661
5-10+ 5.6084 5.7463 5.7419
5-12+ 5.3061 5.4382 5.4241
5-14+ 5.0095 5.1360 5.1126
5-16+ 4.7185 4.8396 4.8071
5-18+ 4.4329 4.5488 4.5075
5-20+ 4.1526 4.2633 4.2136
- ------------------------------------ --------------------- -------------------- -------------------
- ------------------------------------ --------------------- -------------------- -------------------
Spread @ Center Price 125 141 144
WAL 7.80846 7.73024 7.56762
Mod Durn 3.715 3.643 3.527
Mod Convexity 0.216 0.210 0.201
Principal Window Jun99 to Feb29 Jun99 to Nov23 Jun99 to Nov23
Maturity #mos 357 294 294
101,683,720.53 100,775,683.14 99,836,075.50
Total Collat Loss (8.61%) (8.53%) (8.45%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 3 CDR At 3 CDR At 3 CDR
Loss Severity 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS IO--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 0.0025
Delay 14
Stated Maturity N/A
Type SEN WAC IO
- -------------------------------------------------------
- -------------------------------------------------------
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.1213333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
0CPR; EXT0MO 100% 10CPR; EXT0MO 100% 15CPR; EXT0MO 25CPR; EXT0MO 100%
0% RULES; 0 FOR 24 0% RULES; 0 FOR 24 100% 0% RULES; 0 0% RULES; 0 FOR 24
3CDR,40% ADV100% 3CDR,40% ADV100% FOR 24 3CDR,40% 3CDR,40% ADV100%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP LAG12; BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
4-20+ 9.9992 10.4289 10.5913 10.8444
4-22+ 9.6455 10.0662 10.2249 10.4715
4-24+ 9.2995 9.7115 9.8665 10.1068
4-26+ 8.9610 9.3645 9.5159 9.7500
4-28+ 8.6298 9.0248 9.1727 9.4008
4-30+ 8.3055 8.6923 8.8368 9.0590
5-00+ 7.9880 8.3667 8.5078 8.7242
5-02+ 7.6770 8.0477 8.1856 8.3964
5-04+ 7.3722 7.7351 7.8698 8.0751
5-06+ 7.0736 7.4287 7.5603 7.7603
5-08+ 6.7807 7.1284 7.2569 7.4516
5-10+ 6.4936 6.8338 6.9593 7.1489
5-12+ 6.2120 6.5449 6.6675 6.8521
5-14+ 5.9356 6.2614 6.3811 6.5608
5-16+ 5.6644 5.9831 6.1000 6.2749
5-18+ 5.3983 5.7100 5.8241 5.9943
5-20+ 5.1369 5.4418 5.5532 5.7188
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 205 242 255 276
WAL 8.78825 8.53765 8.45364 8.33351
Mod Durn 3.991 3.891 3.852 3.786
Mod Convexity 0.248 0.235 0.230 0.223
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357 357
86,199,776.78 83,213,100.25 82,197,087.83 80,726,539.55
Total Collat Loss (7.30%) (7.04%) (6.96%) (6.83%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 3 CDR At 0 for 24 3 CDR At 0 for 24 3 CDR At 0 for 24 3 CDR
Loss Severity 0.4 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ----------------------------------- ---------------------- -------------------- -------------------
50CPR; EXT0MO 100% 75CPR; EXT0MO 100% 100CPR; EXT0MO
0% RULES; 0 FOR 24 0% RULES; 0 FOR 24 100% 0% RULES; 0
3CDR,40% ADV100% 3CDR,40% ADV100% FOR 24 3CDR,40%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP
- ----------------------------------- ---------------------- -------------------- -------------------
4-20+ 11.2406 11.4763 11.6025
4-22+ 10.8556 11.0824 11.1943
4-24+ 10.4791 10.6974 10.7954
4-26+ 10.1108 10.3209 10.4056
4-28+ 9.7505 9.9527 10.0245
4-30+ 9.3979 9.5923 9.6517
5-00+ 9.0527 9.2396 9.2870
5-02+ 8.7146 8.8943 8.9301
5-04+ 8.3834 8.5561 8.5808
5-06+ 8.0588 8.2247 8.2386
5-08+ 7.7407 7.9000 7.9035
5-10+ 7.4288 7.5818 7.5752
5-12+ 7.1230 7.2697 7.2533
5-14+ 6.8230 6.9637 6.9379
5-16+ 6.5286 6.6634 6.6285
5-18+ 6.2397 6.3689 6.3251
5-20+ 5.9561 6.0797 6.0274
- ----------------------------------- ---------------------- -------------------- -------------------
- ----------------------------------- ---------------------- -------------------- -------------------
Spread @ Center Price 308 325 328
WAL 8.17393 8.09090 7.91846
Mod Durn 3.672 3.597 3.483
Mod Convexity 0.211 0.205 0.196
Principal Window Jun99 to Feb29 Jun99 to Nov23 Jun99 to Nov23
Maturity #mos 357 294 294
78,761,462.34 77,835,089.19 76,972,055.36
Total Collat Loss (6.67%) (6.59%) (6.51%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 3 CDR At 0 for 24 3 CDR At 0 for 24 3 CDR
Loss Severity 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
- ----------------------------------- ---------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS B--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.7
Delay 14
Stated Maturity N/A
Type JUN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $47,261,182.00
Original Balance $47,261,182.00
Current Balance $47,261,182.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.1213333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
15CPR; EXT0MO
0CPR; EXT0MO 100% 10CPR; EXT0MO 100% 100% 0% RULES; 25CPR; EXT0MO 100%
0% RULES; 3CDR,40% 0% RULES; 3CDR,40% 3CDR,40% ADV100% 0% RULES; 3CDR,40%
PRICE ADV100% LAG12; BP ADV100% LAG12; BP LAG12; BP ADV100% LAG12; BP
Yield
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
100-30+ 6.6228 6.6231 6.6231 6.6230
101-00+ 6.6140 6.6144 6.6144 6.6143
101-02+ 6.6053 6.6056 6.6056 6.6055
101-04+ 6.5965 6.5969 6.5969 6.5968
101-06+ 6.5878 6.5881 6.5881 6.5880
101-08+ 6.5791 6.5794 6.5794 6.5793
101-10+ 6.5703 6.5707 6.5707 6.5706
101-12+ 6.5616 6.5620 6.5620 6.5619
101-14+ 6.5529 6.5533 6.5533 6.5532
101-16+ 6.5442 6.5446 6.5446 6.5445
101-18+ 6.5355 6.5359 6.5359 6.5358
101-20+ 6.5268 6.5272 6.5272 6.5271
101-22+ 6.5181 6.5185 6.5185 6.5184
101-24+ 6.5095 6.5098 6.5098 6.5097
101-26+ 6.5008 6.5011 6.5012 6.5011
101-28+ 6.4921 6.4925 6.4925 6.4924
101-30+ 6.4835 6.4838 6.4838 6.4838
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
Spread @ Center Price 120 120 120 120
WAL 9.90278 9.90278 9.90278 9.90278
Mod Durn 7.053 7.053 7.053 7.053
Mod Convexity 0.606 0.606 0.606 0.606
Principal Window Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 119 119 119 119
108,735,772.49 105,915,872.23 104,954,962.89 103,561,118.73
Total Collat Loss (9.20%) (8.96%) (8.88%) (8.77%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 3 CDR At 3 CDR At 3 CDR At 3 CDR
Loss Severity 0.4 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------ --------------------- -------------------- -------------------
100CPR; EXT0MO
50CPR; EXT0MO 100% 75CPR; EXT0MO 100% 100% 0% RULES;
0% RULES; 3CDR,40% 0% RULES; 3CDR,40% 3CDR,40% ADV100%
PRICE ADV100% LAG12; BP ADV100% LAG12; BP LAG12; BP
- ------------------------------------ --------------------- -------------------- -------------------
100-30+ 6.6229 6.6228 6.6207
101-00+ 6.6141 6.6141 6.6118
101-02+ 6.6054 6.6053 6.6030
101-04+ 6.5966 6.5966 6.5941
101-06+ 6.5879 6.5878 6.5853
101-08+ 6.5792 6.5791 6.5765
101-10+ 6.5704 6.5704 6.5676
101-12+ 6.5617 6.5617 6.5588
101-14+ 6.5530 6.5530 6.5500
101-16+ 6.5443 6.5443 6.5412
101-18+ 6.5356 6.5356 6.5324
101-20+ 6.5269 6.5269 6.5236
101-22+ 6.5182 6.5182 6.5148
101-24+ 6.5096 6.5095 6.5060
101-26+ 6.5009 6.5009 6.4973
101-28+ 6.4922 6.4922 6.4885
101-30+ 6.4836 6.4835 6.4797
- ------------------------------------ --------------------- -------------------- -------------------
- ------------------------------------ --------------------- -------------------- -------------------
Spread @ Center Price 120 120 120
WAL 9.90278 9.90278 9.73611
Mod Durn 7.053 7.053 6.968
Mod Convexity 0.606 0.606 0.590
Principal Window Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 119 117
101,683,720.53 100,775,683.14 99,836,075.50
Total Collat Loss (8.61%) (8.53%) (8.45%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 3 CDR At 3 CDR At 3 CDR
Loss Severity 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS B--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.7
Delay 14
Stated Maturity N/A
Type JUN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $47,261,182.00
Original Balance $47,261,182.00
Current Balance $47,261,182.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.1213333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
0CPR; EXT0MO 100% 10CPR; EXT0MO 100% 15CPR; EXT0MO 25CPR; EXT0MO 100%
0% RULES; 0 FOR 24 0% RULES; 0 FOR 24 100% 0% RULES; 0 0% RULES; 0 FOR 24
3CDR,40% ADV100% 3CDR,40% ADV100% FOR 24 3CDR,40% 3CDR,40% ADV100%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP LAG12; BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-30+ 6.6228 6.6231 6.6231 6.6230
101-00+ 6.6140 6.6144 6.6144 6.6143
101-02+ 6.6053 6.6056 6.6056 6.6055
101-04+ 6.5965 6.5969 6.5969 6.5968
101-06+ 6.5878 6.5881 6.5881 6.5880
101-08+ 6.5791 6.5794 6.5794 6.5793
101-10+ 6.5703 6.5707 6.5707 6.5706
101-12+ 6.5616 6.5620 6.5620 6.5619
101-14+ 6.5529 6.5533 6.5533 6.5532
101-16+ 6.5442 6.5446 6.5446 6.5445
101-18+ 6.5355 6.5359 6.5359 6.5358
101-20+ 6.5268 6.5272 6.5272 6.5271
101-22+ 6.5181 6.5185 6.5185 6.5184
101-24+ 6.5095 6.5098 6.5098 6.5097
101-26+ 6.5008 6.5011 6.5012 6.5011
101-28+ 6.4921 6.4925 6.4925 6.4924
101-30+ 6.4835 6.4838 6.4838 6.4838
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 120 120 120 120
WAL 9.90278 9.90278 9.90278 9.90278
Mod Durn 7.053 7.053 7.053 7.053
Mod Convexity 0.606 0.606 0.606 0.606
Principal Window Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 119 119 119 119
86,199,776.78 83,213,100.25 82,197,087.83 80,726,539.55
Total Collat Loss (7.30%) (7.04%) (6.96%) (6.83%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 3 CDR At 0 for 24 3 CDR At 0 for 24 3 CDR At 0 for 24 3 CDR
Loss Severity 0.4 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
50CPR; EXT0MO 100% 75CPR; EXT0MO 100% 100CPR; EXT0MO
0% RULES; 0 FOR 24 0% RULES; 0 FOR 24 100% 0% RULES; 0
3CDR,40% ADV100% 3CDR,40% ADV100% FOR 24 3CDR,40%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP
- ------------------------------------- -------------------- -------------------- -------------------
100-30+ 6.6229 6.6226 6.6207
101-00+ 6.6141 6.6139 6.6118
101-02+ 6.6054 6.6051 6.6030
101-04+ 6.5966 6.5964 6.5941
101-06+ 6.5879 6.5876 6.5853
101-08+ 6.5792 6.5789 6.5765
101-10+ 6.5704 6.5702 6.5676
101-12+ 6.5617 6.5614 6.5588
101-14+ 6.5530 6.5527 6.5500
101-16+ 6.5443 6.5440 6.5412
101-18+ 6.5356 6.5353 6.5324
101-20+ 6.5269 6.5266 6.5236
101-22+ 6.5182 6.5179 6.5148
101-24+ 6.5096 6.5092 6.5060
101-26+ 6.5009 6.5006 6.4973
101-28+ 6.4922 6.4919 6.4885
101-30+ 6.4836 6.4832 6.4797
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 120 120 120
WAL 9.90278 9.88844 9.73611
Mod Durn 7.053 7.045 6.968
Mod Convexity 0.606 0.604 0.590
Principal Window Apr09 to Apr09 Mar09 to Apr09 Feb09 to Feb09
Maturity #mos 119 119 117
78,761,462.34 77,835,089.19 76,972,055.36
Total Collat Loss (6.67%) (6.59%) (6.51%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 3 CDR At 0 for 24 3 CDR At 0 for 24 3 CDR
Loss Severity 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS C--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.76
Delay 14
Stated Maturity N/A
Type JUN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $62,030,300.00
Original Balance $62,030,300.00
Current Balance $62,030,300.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.1213333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
15CPR; EXT0MO
0CPR; EXT0MO 100% 10CPR; EXT0MO 100% 100% 0% RULES; 25CPR; EXT0MO 100%
0% RULES; 3CDR,40% 0% RULES; 3CDR,40% 3CDR,40% ADV100% 0% RULES; 3CDR,40%
PRICE ADV100% LAG12; BP ADV100% LAG12; BP LAG12; BP ADV100% LAG12; BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-14 6.7572 6.7574 6.7573 6.7570
100-16 6.7484 6.7486 6.7485 6.7482
100-18 6.7397 6.7398 6.7397 6.7394
100-20 6.7309 6.7310 6.7309 6.7306
100-22 6.7222 6.7222 6.7221 6.7218
100-24 6.7135 6.7135 6.7133 6.7130
100-26 6.7047 6.7047 6.7046 6.7042
100-28 6.6960 6.6959 6.6958 6.6955
100-30 6.6873 6.6872 6.6870 6.6867
101-00 6.6786 6.6784 6.6783 6.6779
101-02 6.6699 6.6697 6.6695 6.6692
101-04 6.6612 6.6609 6.6608 6.6604
101-06 6.6525 6.6522 6.6521 6.6517
101-08 6.6438 6.6435 6.6433 6.6430
101-10 6.6351 6.6348 6.6346 6.6342
101-12 6.6265 6.6261 6.6259 6.6255
101-14 6.6178 6.6174 6.6172 6.6168
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 133 133 133 133
WAL 10.02461 9.95526 9.94745 9.93735
Mod Durn 7.083 7.049 7.045 7.040
Mod Convexity 0.614 0.607 0.606 0.605
Principal Window Apr09 to Sep09 Apr09 to May09 Apr09 to May09 Apr09 to May09
Maturity #mos 124 120 120 120
108,735,772.49 105,915,872.23 104,954,962.89 103,561,118.73
Total Collat Loss (9.20%) (8.96%) (8.88%) (8.77%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 3 CDR At 3 CDR At 3 CDR At 3 CDR
Loss Severity 0.4 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
100CPR; EXT0MO
50CPR; EXT0MO 100% 75CPR; EXT0MO 100% 100% 0% RULES;
0% RULES; 3CDR,40% 0% RULES; 3CDR,40% 3CDR,40% ADV100%
PRICE ADV100% LAG12; BP ADV100% LAG12; BP LAG12; BP
- ------------------------------------- -------------------- -------------------- -------------------
100-14 6.7567 6.7565 6.7552
100-16 6.7478 6.7477 6.7462
100-18 6.7390 6.7388 6.7373
100-20 6.7302 6.7300 6.7283
100-22 6.7214 6.7212 6.7194
100-24 6.7126 6.7124 6.7105
100-26 6.7038 6.7036 6.7016
100-28 6.6950 6.6948 6.6927
100-30 6.6863 6.6860 6.6838
101-00 6.6775 6.6773 6.6749
101-02 6.6687 6.6685 6.6660
101-04 6.6600 6.6597 6.6571
101-06 6.6512 6.6510 6.6483
101-08 6.6425 6.6422 6.6394
101-10 6.6337 6.6335 6.6306
101-12 6.6250 6.6248 6.6217
101-14 6.6163 6.6160 6.6129
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 133 133 133
WAL 9.92512 9.91508 9.73611
Mod Durn 7.034 7.029 6.939
Mod Convexity 0.604 0.603 0.586
Principal Window Apr09 to May09 Apr09 to May09 Feb09 to Feb09
Maturity #mos 120 120 117
101,683,720.53 100,775,683.14 99,836,075.50
Total Collat Loss (8.61%) (8.53%) (8.45%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 3 CDR At 3 CDR At 3 CDR
Loss Severity 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS C--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.76
Delay 14
Stated Maturity N/A
Type JUN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $62,030,300.00
Original Balance $62,030,300.00
Current Balance $62,030,300.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.1213333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
0CPR; EXT0MO 100% 10CPR; EXT0MO 100% 15CPR; EXT0MO 25CPR; EXT0MO 100%
0% RULES; 0 FOR 24 0% RULES; 0 FOR 24 100% 0% RULES; 0 0% RULES; 0 FOR 24
3CDR,40% ADV100% 3CDR,40% ADV100% FOR 24 3CDR,40% 3CDR,40% ADV100%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP LAG12; BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-14 6.7568 6.7572 6.7570 6.7568
100-16 6.7480 6.7483 6.7482 6.7480
100-18 6.7392 6.7395 6.7394 6.7391
100-20 6.7304 6.7307 6.7306 6.7303
100-22 6.7216 6.7219 6.7218 6.7215
100-24 6.7128 6.7131 6.7130 6.7127
100-26 6.7041 6.7043 6.7042 6.7039
100-28 6.6953 6.6956 6.6954 6.6951
100-30 6.6866 6.6868 6.6867 6.6863
101-00 6.6778 6.6780 6.6779 6.6776
101-02 6.6691 6.6693 6.6691 6.6688
101-04 6.6603 6.6605 6.6604 6.6600
101-06 6.6516 6.6518 6.6516 6.6513
101-08 6.6429 6.6431 6.6429 6.6425
101-10 6.6342 6.6343 6.6342 6.6338
101-12 6.6255 6.6256 6.6254 6.6251
101-14 6.6168 6.6169 6.6167 6.6163
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 133 133 133 133
WAL 9.96241 9.93557 9.92728 9.91656
Mod Durn 7.052 7.039 7.035 7.029
Mod Convexity 0.608 0.605 0.604 0.603
Principal Window Apr09 to May09 Apr09 to May09 Apr09 to May09 Apr09 to May09
Maturity #mos 120 120 120 120
86,199,776.78 83,213,100.25 82,197,087.83 80,726,539.55
Total Collat Loss (7.30%) (7.04%) (6.96%) (6.83%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 3 CDR At 0 for 24 3 CDR At 0 for 24 3 CDR At 0 for 24 3 CDR
Loss Severity 0.4 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
50CPR; EXT0MO 100% 75CPR; EXT0MO 100% 100CPR; EXT0MO
0% RULES; 0 FOR 24 0% RULES; 0 FOR 24 100% 0% RULES; 0
3CDR,40% ADV100% 3CDR,40% ADV100% FOR 24 3CDR,40%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP
- ------------------------------------- -------------------- -------------------- -------------------
100-14 6.7565 6.7564 6.7552
100-16 6.7476 6.7476 6.7462
100-18 6.7388 6.7387 6.7373
100-20 6.7300 6.7299 6.7283
100-22 6.7212 6.7211 6.7194
100-24 6.7123 6.7123 6.7105
100-26 6.7035 6.7035 6.7016
100-28 6.6947 6.6947 6.6927
100-30 6.6860 6.6859 6.6838
101-00 6.6772 6.6771 6.6749
101-02 6.6684 6.6683 6.6660
101-04 6.6596 6.6596 6.6571
101-06 6.6509 6.6508 6.6483
101-08 6.6421 6.6420 6.6394
101-10 6.6334 6.6333 6.6306
101-12 6.6246 6.6246 6.6217
101-14 6.6159 6.6158 6.6129
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 133 133 133
WAL 9.90360 9.90278 9.73611
Mod Durn 7.023 7.022 6.939
Mod Convexity 0.602 0.602 0.586
Principal Window Apr09 to May09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 120 119 117
78,761,462.34 77,835,089.19 76,972,055.36
Total Collat Loss (6.67%) (6.59%) (6.51%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 3 CDR At 0 for 24 3 CDR At 0 for 24 3 CDR
Loss Severity 0.4 0.4 0.4
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
</TABLE>
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, CLASS IO -- PRICE/YIELD
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.0025 Original Balance $1,181,529,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Typ SEN WAC IO
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
</TABLE>
<TABLE>
<CAPTION>
Price 0CPR; Ext0mo 100% 0% 100CPR; Ext0mo 100% 100CPR; Ext0mo 100% 100CPR ym; Ext0mo 100CPR ym pt;
rules; 0CDR,0% 0% rules; 0CDR,0% 0% rules; 0CDR,0% 100% 0% rules; Ext0mo 100% 0% rules;
adv100% lag0; 0bp adv100% lag0; 0bp adv100% lag0; 300bp 0CDR,0% adv100% 0CDR, 0% adv100%
0bp 0bp 300bp lag0; 0bp lag0; 0bp
Yield
<S> <C> <C> <C> <C> <C> <C>
5-00+ 10.2327 11.0950 7.8783 9.8897 9.9779
5-01 10.1568 11.0074 7.8024 9.8128 9.9015
5-01+ 10.0813 10.9203 7.7269 9.7362 9.8256
5-02 10.0061 10.8336 7.6518 9.6600 9.7500
5-02+ 9.9314 10.7474 7.5770 9.5843 9.6748
5-03 9.8570 10.6617 7.5027 9.5089 9.6000
5-03+ 9.7830 10.5764 7.4287 9.4339 9.5256
5-04 9.7094 10.4916 7.3551 9.3592 9.4516
5-04+ 9.6361 10.4072 7.2818 9.2849 9.3779
5-05 9.5632 10.3232 7.2090 9.2110 9.3046
5-05+ 9.4907 10.2397 7.1365 9.1375 9.2317
5-06 9.4185 10.1566 7.0643 9.0643 9.1591
5-06+ 9.3467 10.0740 6.9925 8.9915 9.0869
5-07 9.2752 9.9917 6.9211 8.9191 9.0151
5-07+ 9.2041 9.9099 6.8500 8.8470 8.9436
5-08 9.1334 9.8285 6.7793 8.7752 8.8724
5-08+ 9.0630 9.7476 6.7089 8.7038 8.8016
Spread @ Center Price 429 509 -103 395 404
WAL 9.48647 8.48529 8.48529 9.24419 9.30641
Mod Durn 4.119 3.576 4.120 4.063 4.096
Mod Convexity 0.265 0.207 0.265 0.255 0.263
Principal Window Jun99 to Feb29 Jun99 to Sep23 Jun99 to Sep23 Jun99 to Sep23 Jun99 to Feb29
Maturity #mos 357 292 292 292 357
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 100 CPR At 100 CPR At 100 CPR At 100 CPR
During any pts,
No prepays During any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0% 0%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos 0 mos
Optional Redemption
Shock (bp) 0 0 300 0 0
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class IO--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.0025 Original Balance $1,181,529,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC IO
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
</TABLE>
<TABLE>
<CAPTION>
0CPR ym; Ext0mo 0CPR ym pt; 0CPR ym pt;
Price CPR; Ext0mo 100% 0 % 0CPR; Ext0mo 100% 0CPR; Ext0mo 100% Ext0mo 100% Ext0mo 100% Ext0mo 100%
rules; 0CDR, 30% 0% rules; 1CDR, 30% 0% rules; 2CDR,30% 0% rules; 0% rules; 0% rules;
0CDR, 30% 1CDR, 30% 2CDR, 30% 3CDR, 30% 4CDR, 30% 4CDR, 30%
adv100% lag18; adv100% lag18; adv100% lag18; adv100% lag18 adv100% lag18 adv100% lag18
0bp 0bp 0bp 0bp 0bp 0bp
Yield
<S> <C> <C> <C> <C> <C> <C> <C>
5-00+ 10.2327 9.2246 8.1891 7.1125 5.9463 4.5815
5-01 10.1568 9.1485 8.1127 7.0356 5.8684 4.5012
5-01+ 10.0813 9.0727 8.0367 6.9591 5.7909 4.4212
5-02 10.0061 8.9974 7.9610 6.8829 5.7138 4.3416
5-02+ 9.9314 8.9224 7.8857 6.8072 5.6371 4.2624
5-03 9.8570 8.8479 7.8109 6.7318 5.5608 4.1837
5-03+ 9.7830 8.7737 7.7364 6.6568 5.4849 4.1053
5-04 9.7094 8.6998 7.6622 6.5823 5.4094 4.0273
5-04+ 9.6361 8.6264 7.5885 6.5080 5.3342 3.9496
5-05 9.5632 8.5533 7.5151 6.4342 5.2595 3.8724
5-05+ 9.4907 8.4806 7.4421 6.3607 5.1851 3.7955
5-06 9.4185 8.4083 7.3695 6.2876 5.1110 3.7190
5-06+ 9.3467 8.3363 7.2972 6.2149 5.0374 3.6428
5-07 9.2752 8.2646 7.2253 6.1425 4.9641 3.5671
5-07+ 9.2041 8.1934 7.1537 6.0705 4.8912 3.4917
5-08 9.1334 8.1224 7.0825 5.9988 4.8186 3.4166
5-08+ 9.0630 8.0519 7.0116 5.9275 4.7464 3.3419
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
Spread @ Center Price 429 329 226 119 3 -135
WAL 9.48647 9.13765 8.80788 8.49589 8.20054 7.92076
Mod Durn 4.119 4.108 4.092 4.066 4.015 3.887
Mod Convexity 0.265 0.265 0.263 0.260 0.252 0.228
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357 357 357 357
Total Collat Loss 0.00 (0.00%) 28,218,689.47 54,213,458.85 78,163,503.90 100,232,050.25 120,568,029.45
(2.39%) (4.59%) (6.62%) (8.48%) (10.20%)
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays During any YM During any pts, During any pts,
any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 1 CDR At 2 CDR At 3 CDR At 4 CDR At 5 CDR
Loss Severity 30% 30% 30% 30% 30% 30%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 18 mos 18 mos 18 mos 18 mos 18 mos 18 mos
Shock (bp) 0 0 0 0 0 0
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class IO--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.0025 Original Balance $1,181,529,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC IO
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
</TABLE>
<TABLE>
<CAPTION>
Price 0CPR; Ext0mo 100% 0% 100CPR; Ext0mo 100% 100CPR; Ext0mo 100% 100CPR ym; Ext0mo 100CPR ym pt;
rules; 0CDR,0% 0% rules; 0CDR,0% 0% rules; 0CDR,0% 100% 0% rules; Ext0mo 100% 0% rules;
adv100% lag0; 0bp adv100% lag0; 0bp adv100% lag0; 300bp 0CDR,0% adv100% 0CDR, 0% adv100%
0bp 0bp 300bp lag0; 0bp lag0; 0bp
Yield
<S> <C> <C> <C> <C> <C> <C> <C>
5-00+ 10.2327 9.6789 9.1077 8.5361 7.9422 7.3134
5-01 10.1568 9.6025 9.0306 8.4583 7.8636 7.2338
5-01+ 10.0813 9.5264 8.9538 8.3809 7.7854 7.1546
5-02 10.0061 9.4507 8.8775 8.3039 7.7076 7.0758
5-02+ 9.9314 9.3754 8.8016 8.2273 7.6302 6.9974
5-03 9.8570 9.3005 8.7261 8.1511 7.5532 6.9194
5-03+ 9.7830 9.2260 8.6509 8.0753 7.4766 6.8418
5-04 9.7094 9.1518 8.5761 7.9999 7.4004 6.7645
5-04+ 9.6361 9.0780 8.5017 7.9248 7.3246 6.6877
5-05 9.5632 9.0046 8.4277 7.8501 7.2491 6.6113
5-05+ 9.4907 8.9316 8.3540 7.7758 7.1740 6.5352
5-06 9.4185 8.8589 8.2808 7.7019 7.0993 6.4595
5-06+ 9.3467 8.7866 8.2078 7.6283 7.0250 6.3842
5-07 9.2752 8.7146 8.1353 7.5551 6.9510 6.3093
5-07+ 9.2041 8.6430 8.0631 7.4823 6.8774 6.2347
5-08 9.1334 8.5717 7.9912 7.4098 6.8041 6.1605
5-08+ 9.0630 8.5008 7.9197 7.3376 6.7312 6.0866
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
Spread @ Center Price 429 374 317 260 200 137
WAL 9.48647 9.27270 9.06866 8.87378 8.68749 8.50929
Mod Durn 4.119 4.090 4.056 4.020 3.979 3.927
Mod Convexity 0.265 0.262 0.257 0.252 0.247 0.239
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357 357 357 357
Total Collat Loss 0.00 (0.00%) 21,672,796.32 41,991,541.43 61,048,678.95 78,928,830.58 95,709,620.76
(1.83%) (3.55%) (5.17%) (6.68%) (8.10%)
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays During any YM During any pts, During any pts,
any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 for 24 0 CDR At 0 for 24 1 CDR At 0 for 24 2 CDR At 0 for 24 3 CDR At 0 for 24 4 CDR At 0 for 24 5 CDR
Loss Severity 0.3 0.3 0.3 30% 30% 30%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 18 mos 18 mos 18 mos 18 mos 18 mos 18 mos
Optional Redemption
Shock (bp) 0 0 0 0 0 0
</TABLE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class IO--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.0025 Original Balance $1,181,529,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC IO
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
</TABLE>
<TABLE>
<CAPTION>
Price 100CPR ym; Ext0mo 100CPR ym; Ext0mo 100CPR ym; Ext0mo 00CPR ym; Ext0mo 100CPR ym; Ext0mo 100CPR ym; Ext0mo
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
0CDR,30% adv100% 1CDR,30% adv100% 2CDR,30% adv100% CDR,30% adv100% 4CDR,30% adv100% 5CDR,30% adv100%
lag18; 0bp lag18; 0bp lag18; 0bp lag18; 0bp lag18; 0bp lag18; 0bp
Yield
<S> <C> <C> <C> <C> <C> <C> <C>
5-00+ 9.8897 8.8855 7.8411 6.7634 5.6112 4.2775
5-01 9.8128 8.8084 7.7636 6.6853 5.5323 4.1964
5-01+ 9.7362 8.7316 7.6865 6.6077 5.4538 4.1156
5-02 9.6600 8.6553 7.6098 6.5305 5.3757 4.0353
5-02+ 9.5843 8.5793 7.5335 6.4536 5.2980 3.9554
5-03 9.5089 8.5037 7.4575 6.3772 5.2207 3.8758
5-03+ 9.4339 8.4285 7.3820 6.3011 5.1437 3.7967
5-04 9.3592 8.3537 7.3068 6.2254 5.0672 3.7179
5-04+ 9.2849 8.2792 7.2320 6.1501 4.9910 3.6395
5-05 9.2110 8.2051 7.1576 6.0752 4.9152 3.5615
5-05+ 9.1375 8.1314 7.0835 6.0007 4.8398 3.4839
5-06 9.0643 8.0581 7.0098 5.9265 4.7648 3.4067
5-06+ 8.9915 7.9851 6.9365 5.8527 4.6901 3.3298
5-07 8.9191 7.9124 6.8635 5.7792 4.6158 3.2533
5-07+ 8.8470 7.8401 6.7909 5.7061 4.5419 3.1771
5-08 8.7752 7.7682 6.7186 5.6334 4.4683 3.1014
5-08+ 8.7038 7.6966 6.6467 5.5610 4.3951 3.0259
Spread @ Center Price 395 295 191 84 -31 -166
WAL 9.24419 8.91842 8.60943 8.31622 8.03783 7.77339
Mod Durn 4.063 4.053 4.034 4.007 3.962 3.850
Mod Convexity 0.255 0.255 0.253 0.249 0.243 0.222
Principal Window Jun99 to Sep23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23
Maturity #mos 292 294 294 294 294 294
Total Collat Loss 0.00 (0.00%) 28,035,920.80 53,902,038.97 77,765,670.68 99,780,461.92 120,087,648.53
(2.37%) (4.56%) (6.58%) (8.45%) (10.16%)
Prepay At 100 CPR At 100 CPR At 100 CPR At 100 CPR At 100 CPR At 100 CPR
No prepays During any YM During any YM During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 1 CDR At 2 CDR At 3 CDR At 4 CDR At 5 CDR
Loss Severity 0.3 0.3 0.3 30% 30% 30%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 18 mos 18 mos 18 mos 18 mos 18 mos 18 mos
Optional Redemption
Shock (bp) 0 0 0 0 0 0
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class IO--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.0025 Original Balance $1,181,529,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC IO
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
</TABLE>
<TABLE>
<CAPTION>
Price 100CPR; Ext0mo 100CPR; Ext0mo 100CPR; Ext0mo 100CPR ym; Ext0mo 100CPR ym pt; 100CPR ym pt;
100% 0% rules 100% 0% rules 100% 0% rules Ext0mo 100% 0% rules Ext0mo 100% 0% rules Ext0mo 100% 0% rules
0 for 24 0 for 24 0 for 24 0 for 24 0 for 24 0 for 24
0CDR, 30% 1CDR, 30% 2CDR, 30% 3CDR, 30% 4CDR, 30% 4CDR, 30%
adv 100%lag18 adv 100%lag18 adv 100%lag18 adv 100%lag18 adv 100%lag18 adv 100%lag18
0bp 0bp 0bp 0bp 0bp 0bp
Yield
<S> <C> <C> <C> <C> <C> <C> <C>
5-00+ 9.8897 9.3465 8.7785 8.2070 7.6202 7.0000
5-01 9.8128 9.2690 8.7004 8.1282 7.5406 6.9194
5-01+ 9.7362 9.1919 8.6227 8.0498 7.4614 6.8393
5-02 9.6600 9.1153 8.5453 7.9718 7.3826 6.7595
5-02+ 9.5843 9.0390 8.4684 7.8942 7.3042 6.6801
5-03 9.5089 8.9631 8.3919 7.8170 7.2262 6.6011
5-03+ 9.4339 8.8875 8.3157 7.7402 7.1485 6.5225
5-04 9.3592 8.8124 8.2400 7.6637 7.0713 6.4443
5-04+ 9.2849 8.7376 8.1646 7.5877 6.9945 6.3665
5-05 9.2110 8.6632 8.0896 7.5120 6.9180 6.2891
5-05+ 9.1375 8.5892 8.0149 7.4367 6.8419 6.2120
5-06 9.0643 8.5155 7.9406 7.3618 6.7662 6.1354
5-06+ 8.9915 8.4422 7.8667 7.2872 6.6909 6.0591
5-07 8.9191 8.3693 7.7932 7.2130 6.6159 5.9831
5-07+ 8.8470 8.2967 7.7200 7.1391 6.5413 5.9076
5-08 8.7752 8.2244 7.6472 7.0657 6.4671 5.8324
5-08+ 8.7038 8.1526 7.5747 6.9925 6.3932 5.7576
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
Spread @ Center Price 395 341 284 227 168 105
WAL 9.24419 9.04901 8.86204 8.68282 8.51093 8.34600
Mod Durn 4.063 4.035 4.002 3.967 3.927 3.878
Mod Convexity 0.255 0.252 0.248 0.243 0.237 0.230
Principal Window Jun99 to Sep23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23
Maturity #mos 292 294 294 294 294 294
Total Collat Loss 0.00 (0.00%) 21,486,316.70 41,667,280.84 60,625,856.95 78,438,825.88 95,177,342.73
(1.82%) (3.53%) (5.13%) (6.64%) (8.06%)
Prepay At 100 CPR At 100 CPR At 100 CPR At 100 CPR At 100 CPR At 100 CPR
No prepays During any YM During any YM During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None None None
Pay Exten Princ
Default At 0 for 24 0 CDR At 0 for 24 1 CDR At 0 for 24 2 CDR At 0 for 24 3 CDR At 0 for 24 4 CDR At 0 for 24 5 CDR
Loss Severity 0.3 0.3 0.3 30% 30% 30%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 18 mos 18 mos 18 mos 18 mos 18 mos 18 mos
Shock (bp) 0 0 0 0 0 0
</TABLE>
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class IO--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.0025 Original Balance $1,181,529,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC IO
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
</TABLE>
<TABLE>
<CAPTION>
0 for 24 1CDR,30% 0 for 24 2CDR,30% 0 for 24 3CDR, 30% 0 for 24 4CDR,30%
0CDR,0% adv100% adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
lag12; Ext0mo 100% Ext0mo 100% 0% Ext0mo 100% 0% Ext0mo 100% 0% Ext0mo 100% 0%
PREPAY 0% rules;bp;bp rules;bp;bp rules;bp;bp rules;bp;bp rules;bp;bp
Yield
<S> <C> <C> <C> <C> <C> <C>
0CPR 9.6361 8.9827 8.3089 7.6328 6.9175
15CPR 9.9496 9.3555 8.7346 8.0770 7.4102
25CPR 10.0904 9.5067 8.9102 8.2741 7.6178
50CPR 10.3129 9.7462 9.1791 8.5812 7.9536
100CPR 10.4072 9.8817 9.3513 8.7927 8.1899
Spread @ Center Price
0CPR 429 365 298 231 160
15CPR 462 403 341 276 210
25CPR 476 418 359 296 231
50CPR 499 443 387 327 265
100CPR 509 457 405 349 289
WAL
0CPR 9.4865 9.2423 9.0098 8.7883 8.5769
15CPR 9.0877 8.8666 8.6554 8.4536 8.2607
25CPR 8.9502 8.7353 8.5299 8.3335 8.1457
50CPR 8.7729 8.5641 8.3647 8.1739 7.9914
100CPR 8.4853 8.2879 8.0991 7.9185 7.7455
Mod Durn
0CPR 4.1190 4.0920 4.0590 4.0250 3.9820
15CPR 3.9530 3.9320 3.9070 3.8740 3.8400
25CPR 3.8800 3.8590 3.8370 3.8070 3.7730
50CPR 3.7620 3.7410 3.7200 3.6930 3.6590
100CPR 3.5760 3.5540 3.5300 3.5030 3.4680
Mod Convexity
0CPR 0.2650 0.2620 0.2580 0.2540 0.2480
15CPR 0.2430 0.2400 0.2370 0.2330 0.2290
25CPR 0.2340 0.2320 0.2290 0.2260 0.2210
50CPR 0.2220 0.2200 0.2170 0.2140 0.2100
100CPR 0.2070 0.2050 0.2020 0.1990 0.1940
Principal Window
0CPR Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
15CPR Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
25CPR Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
50CPR Jun99 to Dec26 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
100CPR Jun99 to Sep23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23
Maturity #mos
0CPR 357 357 357 357 357
15CPR 357 357 357 357 357
25CPR 357 357 357 357 357
50CPR 331 357 357 357 357
100CPR 292 294 294 294 294
Total Collat Loss
0CPR 0.00 (0.00%) 23,035,031.75 (1.95%) 44,550,516.42 (3.77%) 64,652,819.92 (5.47%) 83,439,431.36 (7.06%)
15CPR 0.00 (0.00%) 21,907,311.34 (1.85%) 42,427,029.95 (3.59%) 61,650,589.68 (5.22%) 79,662,440.52 (6.74%)
25CPR 0.00 (0.00%) 21,504,119.67 (1.82%) 41,657,274.57 (3.53%) 60,547,631.76 (5.12%) 78,256,714.78 (6.62%)
50CPR 0.00 (0.00%) 20,975,711.82 (1.78%) 40,638,577.90 (3.44%) 59,073,789.33 (5.00%) 76,360,191.53 (6.46%)
100CPR 0.00 (0.00%) 20,508,883.55 (1.74%) 39,724,992.51 (3.36%) 57,731,850.90 (4.89%) 74,606,830.56 (6.31%)
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
- --------------------------------------------------------------------------------
The attached tables and statistical analysis (the "Computational Materials")
are privileged and confidential and are intended for use by the addressee
only. These Computational Materials are furnished to you solely by First Union
Capital Markets Corp. and Chase Securities Inc. (collectively, the
"Underwriter") and not by the issuer of the certificates identified above (the
"Offered Certificates") or any other party. The issuer of the Offered
Certificates has not prepared or taken part in the preparation of these
materials. None of the Underwriters, the issuer of the Offered Certificates,
or any other party makes any representation as to the accuracy or completeness
of the information herein. The information herein is preliminary, and will be
superseded by the applicable prospectus supplement and by any other
information subsequently filed with the Securities and Exchange Commission.
The information herein may not be provided to any third party other than the
addressee's legal, tax, financial and/or accounting advisors for the purposes
of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in
any particular context; or as to whether the Computational Materials reflect
future performance. These Computational Materials should not be construed as
either a prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower
or faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the Offered Certificates may differ from those shown in the
Computational Materials due to difference between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the
Computational Materials are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange
Commission and is effective, the final prospectus supplement relating to the
Offered Certificates has not been filed with the Securities and Exchange
Commission. This communication shall not constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the Offered
Certificates in any state in which such offer, solicitation or sale would be
unlawful prior to registration or qualification under the securities laws of
any such state. Prospective purchasers are referred to the final prospectus
and prospectus supplement relating to the Offered Certificates for definitive
terms of the Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not
be appropriate for all investors. Potential investors must be willing to
assume, among other things, market price volatility, prepayments, yield curve
and interest rate risks. Investors should fully consider the risk of an
investment in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class IO--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.0025 Original Balance $1,181,529,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC IO
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
</TABLE>
<TABLE>
<CAPTION>
0 for 24 1CDR,30% 0 for 24 2CDR,30% 0 for 24 3CDR, 30% 0 for 24 4CDR,30%
0CDR,0% adv100% adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
lag12; Ext0mo 100% Ext0mo 100% 0% Ext0mo 100% 0% Ext0mo 100% 0% Ext0mo 100% 0%
PREPAY 0% rules;0bp;0bp rules;0bp;0bp rules;0bp;0bp rules;0bp;0bp rules;0bp;0bp
Yield
<S><C> <C> <C> <C> <C> <C> <C>
0CPR ym 9.6361 8.9827 8.3089 7.6328 6.9175
15CPR ym 9.5894 8.9391 8.2671 7.5924 6.8801
25CPR ym 9.5697 8.9209 8.2496 7.5755 6.8645
50CPR ym 9.5321 8.8861 8.2160 7.5424 6.8335
100CPR ym 9.2849 8.6410 7.9681 7.2908 6.5827
Spread @ Center Price
0CPR ym 429 365 298 231 160
15CPR ym 425 360 294 227 156
25CPR ym 423 359 292 225 155
50CPR ym 419 355 289 222 152
100CPR ym 395 331 264 197 127
WAL
0CPR ym 9.4865 9.2423 9.0098 8.7883 8.5769
15CPR ym 9.4515 9.2119 8.9834 8.7652 8.5568
25CPR ym 9.4381 9.2000 8.9727 8.7557 8.5484
50CPR ym 9.4136 9.1778 8.9525 8.7373 8.5316
100CPR ym 9.2442 9.0197 8.8052 8.6000 8.4038
Mod Durn
0CPR ym 4.1190 4.0920 4.0590 4.0250 3.9820
15CPR ym 4.1020 4.0760 4.0440 4.0100 3.9680
25CPR ym 4.0970 4.0710 4.0390 4.0060 3.9630
50CPR ym 4.0890 4.0640 4.0320 3.9990 3.9570
100CPR ym 4.0630 4.0370 4.0050 3.9710 3.9280
Mod Convexity
0CPR ym 0.2650 0.2620 0.2580 0.2540 0.2480
15CPR ym 0.2610 0.2580 0.2540 0.2500 0.2440
25CPR ym 0.2600 0.2570 0.2530 0.2490 0.2430
50CPR ym 0.2590 0.2560 0.2520 0.2480 0.2420
100CPR ym 0.2550 0.2520 0.2480 0.2440 0.2380
Principal Window
0CPR ym Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
15CPR ym Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
25CPR ym Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
50CPR ym Jun99 to Jul27 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
100CPR ym Jun99 to Sep23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23
Maturity #mos
0CPR ym 357 357 357 357 357
15CPR ym 357 357 357 357 357
25CPR ym 357 357 357 357 357
50CPR ym 338 357 357 357 357
100CPR ym 292 294 294 294 294
Total Collat Loss
0CPR ym 0.00 (0.00%) 23,035,031.75(1.95%) 44,550,516.42(3.77%) 64,652,819.92(5.47%) 83,439,431.36 (7.06%)
15CPR ym 0.00 (0.00%) 22,949,586.92(1.94%) 44,404,519.89(3.76%) 64,465,743.76(5.46%) 83,226,375.01 (7.04%)
25CPR ym 0.00 (0.00%) 22,921,973.51(1.94%) 44,356,524.08(3.75%) 64,403,206.89(5.45%) 83,153,981.39 (7.04%)
50CPR ym 0.00 (0.00%) 22,885,130.30(1.94%) 44,291,849.30(3.75%) 64,318,113.62(5.44%) 83,054,527.14 (7.03%)
100CPR ym 0.00 (0.00%) 22,844,463.67(1.93%) 44,219,474.52(3.74%) 64,221,571.38(5.44%) 82,940,130.04 (7.02%)
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class IO--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.0025 Original Balance $1,181,529,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC IO
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.1213333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
</TABLE>
<TABLE>
<CAPTION>
100CPR;
0CPR; Ext0mo 15CPR; Ext0mo 25CPR; Ext0mo 50CPR; Ext0mo Ext0mo 100%
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 0% rules;
0CDR,0% 0CDR,0% 0CDR,0% 0CDR,0% 0CDR,0%
adv100% lag0; adv100% lag0; adv100% lag0; adv100% lag0; adv100% lag0;
Price 100bp 100bp 100bp 100bp 100bp
Yield
<S> <C> <C> <C> <C> <C> <C>
5-00+ 10.2327 10.4973 10.6275 10.8284 10.8825
5-01 10.1568 10.4183 10.5471 10.7457 10.7957
5-01+ 10.0813 10.3397 10.4671 10.6634 10.7094
5-02 10.0061 10.2615 10.3875 10.5815 10.6236
5-02+ 9.9314 10.1837 10.3084 10.5000 10.5382
5-03 9.8570 10.1063 10.2296 10.4190 10.4532
5-03+ 9.7830 10.0293 10.1513 10.3383 10.3687
5-04 9.7094 9.9527 10.0733 10.2581 10.2847
5-04+ 9.6361 9.8765 9.9957 10.1783 10.2011
5-05 9.5632 9.8006 9.9186 10.0989 10.1179
5-05+ 9.4907 9.7251 9.8418 10.0199 10.0352
5-06 9.4185 9.6500 9.7654 9.9413 9.9528
5-06+ 9.3467 9.5753 9.6893 9.8630 9.8710
5-07 9.2752 9.5009 9.6137 9.7852 9.7895
5-07+ 9.2041 9.4269 9.5384 9.7078 9.7084
5-08 9.1334 9.3533 9.4635 9.6307 9.6278
5-08+ 9.0630 9.2800 9.3889 9.5540 9.5476
Spread @ Center Price 329 354 367 385 388
WAL 9.48647 9.08767 8.95024 8.77285 8.48529
Mod Durn 4.119 3.958 3.890 3.781 3.609
Mod Convexity 0.265 0.243 0.235 0.224 0.211
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Dec26 Jun99 to Sep23
Maturity #mos 357 357 357 331 292
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 15 CPR At 25 CPR At 50 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0
Servicer Advances 100% of P&I 100% of P&I 1&I 100% of P&I 10&I 100% of P&I 100&I 100% of P&I
Recovery Lag 0 mos 0 mos 0 mos 0 mos 0 mos
Optional Redemption
Shock (bp) 100 100 100 100 100
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class IO--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.0025 Original Balance $1,181,529,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC IO
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.1213333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
</TABLE>
<TABLE>
<CAPTION>
100CPR;
0CPR; Ext0mo 15CPR; Ext0mo 25CPR; Ext0mo 50CPR; Ext0mo Ext0mo 100%
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 0% rules;
0CDR,0% 0CDR,0% 0CDR,0% 0CDR,0% 0CDR,0%
adv100% lag0; adv100% lag0; adv100% lag0; adv100% lag0; adv100% lag0;
Price 200bp 200bp 200bp 200bp 200bp
Yield
<S> <C> <C> <C> <C> <C> <C>
5-00+ 10.2327 9.6294 9.4001 9.0568 8.4535
5-01 10.1568 9.5523 9.3228 8.9792 8.3756
5-01+ 10.0813 9.4757 9.2458 8.9020 8.2982
5-02 10.0061 9.3994 9.1693 8.8253 8.2212
5-02+ 9.9314 9.3235 9.0931 8.7489 8.1446
5-03 9.8570 9.2480 9.0173 8.6728 8.0684
5-03+ 9.7830 9.1729 8.9419 8.5972 7.9925
5-04 9.7094 9.0981 8.8669 8.5220 7.9171
5-04+ 9.6361 9.0238 8.7922 8.4471 7.8420
5-05 9.5632 8.9498 8.7180 8.3726 7.7673
5-05+ 9.4907 8.8761 8.6441 8.2985 7.6930
5-06 9.4185 8.8029 8.5705 8.2247 7.6190
5-06+ 9.3467 8.7300 8.4973 8.1514 7.5455
5-07 9.2752 8.6574 8.4245 8.0783 7.4722
5-07+ 9.2041 8.5852 8.3521 8.0057 7.3994
5-08 9.1334 8.5134 8.2800 7.9334 7.3269
5-08+ 9.0630 8.4419 8.2082 7.8614 7.2548
Spread @ Center Price 229 169 146 112 53
WAL 9.48647 9.08767 8.95024 8.77285 8.48529
Mod Durn 4.119 4.057 4.042 4.030 4.019
Mod Convexity 0.265 0.256 0.254 0.253 0.254
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Dec26 Jun99 to Sep23
Maturity #mos 357 357 357 331 292
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 15 CPR At 25 CPR At 50 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 0 mos 0 mos 0 mos 0 mos 0 mos
Optional Redemption
Shock (bp) 200 200 200 200 200
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class IO--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.0025 Original Balance $1,181,529,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC IO
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
0CDR, adv100% 0 for 24 1CDR, 30% 0 for 24 2CDR, 30% 0 for 24 3CDR, 30% 0 for 24 4CDR, 30%
lag12; Ext0mo 100% adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
0% rules; 100bp; Ext0mo 100% 0% Ext0mo 100% 0% Ext0mo 100% 0% Ext0mo 100% 0%
Prepay 100bp rules; 100bp; 100bp rules; 100bp; 100bp rules; 100bp; 100bp rules; 100bp; 100bp
Yield
<S> <C> <C> <C> <C> <C> <C>
0CPR 9.6361 8.9827 8.3089 7.6328 6.9175
15CPR 9.8765 9.2828 8.6690 8.0156 7.3486
25CPR 9.9957 9.4120 8.8183 8.1864 7.5296
50CPR 10.1783 9.6109 9.0431 8.4456 7.8160
100CPR 10.2011 9.6730 9.1397 8.5779 7.9712
Spread @ Center Price
0CPR 329 265 198 131 60
15CPR 354 296 235 170 104
25CPR 367 309 250 187 122
50CPR 385 329 273 214 151
100CPR 388 336 283 228 168
WAL
0CPR 9.4865 9.2423 9.0098 8.7883 8.5769
15CPR 9.0877 8.8666 8.6554 8.4536 8.2607
25CPR 8.9502 8.7353 8.5299 8.3335 8.1457
50CPR 8.7729 8.5641 8.3647 8.1739 7.9914
100CPR 8.4853 8.2879 8.0991 7.9185 7.7455
Mod Durn
0CPR 4.1190 4.0920 4.0590 4.0250 3.9820
15CPR 3.9580 3.9370 3.9120 3.8810 3.8470
25CPR 3.8900 3.8690 3.8470 3.8180 3.7840
50CPR 3.7810 3.7600 3.7380 3.7120 3.6780
100CPR 3.6090 3.5870 3.5640 3.5360 3.5010
Mod Convexity
0CPR 0.2650 0.2620 0.2580 0.2540 0.2480
15CPR 0.2430 0.2410 0.2380 0.2340 0.2300
25CPR 0.2350 0.2330 0.2300 0.2270 0.2230
50CPR 0.2240 0.2220 0.2190 0.2160 0.2120
100CPR 0.2110 0.2080 0.2050 0.2020 0.1980
Principal Window
0CPR Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
15CPR Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
25CPR Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
50CPR Jun99 to Dec26 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
100CPR Jun99 to Sep23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23
Maturity #mos
0CPR 357 357 357 357 357
15CPR 357 357 357 357 357
25CPR 357 357 357 357 357
50CPR 331 357 357 357 357
100CPR 292 294 294 294 294
Total Collat Loss
0CPR 0.00 (0.00%) 23,035,031.75 (1.95%) 44,550,516.42 (3.77%) 64,652,819.92 (5.47%) 83,439,431.36 (7.06%)
15CPR 0.00 (0.00%) 21,907,311.34 (1.85%) 42,427,029.95 (3.59%) 61,650,589.68 (5.22%) 79,662,440.52 (6.74%)
25CPR 0.00 (0.00%) 21,504,119.67 (1.82%) 41,657,274.57 (3.53%) 60,547,631.76 (5.12%) 78,256,714.78 (6.62%)
50CPR 0.00 (0.00%) 20,975,711.82 (1.78%) 40,638,577.90 (3.44%) 59,073,789.33 (5.00%) 76,360,191.53 (6.46%)
100CPR 0.00 (0.00%) 20,508,883.55 (1.74%) 39,724,992.51 (3.36%) 57,731,850.90 (4.89%) 74,606,830.56 (6.31%)
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class IO--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.0025 Original Balance $1,181,529,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC IO
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
0CDR, 0% adv100% 0 for 24 1CDR,30% 0 for 24 2CDR,30% 0 for 24 3CDR, 30% 0 for 24 4CDR,30%
lag12; Ext0mo 100% adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
0% rules; 200 bp; Ext0mo 100% 0% Ext0mo 100% 0% Ext0mo 100% 0% Ext0mo 100% 0%
PREPAY 200bp rules;200bp;200bp rules;200bp;200bp rules;200bp;200bp rules;200bp;200bp
Yield
<S><C> <C> <C> <C> <C> <C>
0CPR 9.6361 8.9827 8.3089 7.6328 6.9175
15CPR 9.0238 8.4326 7.8257 7.1762 6.5068
25CPR 8.7922 8.2068 7.6177 6.9877 6.3239
50CPR 8.4471 7.8734 7.2987 6.6897 6.0339
100CPR 7.8420 7.2821 6.7154 6.1154 5.4614
Spread @ Center Price
0CPR 229 165 98 31 -40
15CPR 169 111 50 -14 -80
25CPR 146 88 30 -32 -98
50CPR 112 56 -1 -62 -127
100CPR 53 -3 -59 -119 -183
WAL
0CPR 9.4865 9.2423 9.0098 8.7883 8.5769
15CPR 9.0877 8.8666 8.6554 8.4536 8.2607
25CPR 8.9502 8.7353 8.5299 8.3335 8.1457
50CPR 8.7729 8.5641 8.3647 8.1739 7.9914
100CPR 8.4853 8.2879 8.0991 7.9185 7.7455
Mod Durn
0CPR 4.1190 4.0920 4.0590 4.0250 3.9820
15CPR 4.0570 4.0350 4.0110 3.9790 3.9430
25CPR 4.0420 4.0210 3.9970 3.9680 3.9310
50CPR 4.0300 4.0080 3.9850 3.9570 3.9200
100CPR 4.0190 3.9970 3.9730 3.9450 3.9070
Mod Convexity
0CPR 0.2650 0.2620 0.2580 0.2540 0.2480
15CPR 0.2560 0.2530 0.2500 0.2460 0.2420
25CPR 0.2540 0.2520 0.2490 0.2450 0.2400
50CPR 0.2530 0.2510 0.2480 0.2450 0.2400
100CPR 0.2540 0.2510 0.2480 0.2450 0.2400
Principal Window
0CPR Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
15CPR Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
25CPR Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
50CPR Jun99 to Dec26 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
100CPR Jun99 to Sep23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23
Maturity #mos
0CPR 357 357 357 357 357
15CPR 357 357 357 357 357
25CPR 357 357 357 357 357
50CPR 331 357 357 357 357
100CPR 292 294 294 294 294
Total Collat Loss
0CPR 0.00 (0.00%) 23,035,031.75 (1.95%) 44,550,516.42 (3.77%) 64,652,819.92 (5.47%) 83,439,431.36 (7.06%)
15CPR 0.00 (0.00%) 21,907,311.34 (1.85%) 42,427,029.95 (3.59%) 61,650,589.68 (5.22%) 79,662,440.52 (6.74%)
25CPR 0.00 (0.00%) 21,504,119.67 (1.82%) 41,657,274.57 (3.53%) 60,547,631.76 (5.12%) 78,256,714.78 (6.62%)
50CPR 0.00 (0.00%) 20,975,711.82 (1.78%) 40,638,577.90 (3.44%) 59,073,789.33 (5.00%) 76,360,191.53 (6.46%)
100CPR 0.00 (0.00%) 20,508,883.55 (1.74%) 39,724,992.51 (3.36%) 57,731,850.90 (4.89%) 74,606,830.56 (6.31%)
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
- --------------------------------------------------------------------------------
The attached tables and statistical analysis (the "Computational Materials")
are privileged and confidential and are intended for use by the addressee
only. These Computational Materials are furnished to you solely by First Union
Capital Markets Corp. and Chase Securities Inc. (collectively, the
"Underwriter") and not by the issuer of the certificates identified above (the
"Offered Certificates") or any other party. The issuer of the Offered
Certificates has not prepared or taken part in the preparation of these
materials. None of the Underwriters, the issuer of the Offered Certificates,
or any other party makes any representation as to the accuracy or completeness
of the information herein. The information herein is preliminary, and will be
superseded by the applicable prospectus supplement and by any other
information subsequently filed with the Securities and Exchange Commission.
The information herein may not be provided to any third party other than the
addressee's legal, tax, financial and/or accounting advisors for the purposes
of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in
any particular context; or as to whether the Computational Materials reflect
future performance. These Computational Materials should not be construed as
either a prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower
or faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the Offered Certificates may differ from those shown in the
Computational Materials due to difference between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the
Computational Materials are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange
Commission and is effective, the final prospectus supplement relating to the
Offered Certificates has not been filed with the Securities and Exchange
Commission. This communication shall not constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the Offered
Certificates in any state in which such offer, solicitation or sale would be
unlawful prior to registration or qualification under the securities laws of
any such state. Prospective purchasers are referred to the final prospectus
and prospectus supplement relating to the Offered Certificates for definitive
terms of the Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not
be appropriate for all investors. Potential investors must be willing to
assume, among other things, market price volatility, prepayments, yield curve
and interest rate risks. Investors should fully consider the risk of an
investment in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
FUCMC Bond Analyzer CMBS Sensitivity Analysis
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Issue FUNCM 99C2
Tranche IO Yield Curve
Cusip 3MO 6MO 1YR 2YR 5YR 10YR 30YR
Price 5-4+ 4.776 4.776 4.776 5.071 5.222 5.357 5.677
Settle Date 5/20/99
Price Date
10% CPR 50% CPR 100% CPR
-------------------------
Yield Change (bp) for Prepayments After LO,YM, and Penalties -1 -3 -26
Yield Change (bp) for Prepayments During Penalty Period -3 -10 -35
Yield Change (bp) for Prepayments During YM (Yield Curve Unch) 23 68 77
Yield Change (bp) for Prepayments During YM (Yield Curve -100bp) 28 79 93
Yield Change (bp) for Prepayments During YM (Yield Curve +100bp) 17 54 56
Yield Change (bp) for Prepayments During YM (Yield Curve +200bp) -46 -119 -179
1% CDR 2% CDR 3% CDR 4% CDR
------ ------ ------ ------
Yield Change (bp) for Defaults Assuming No Prepayments -141 -284 -429 -582
Yield Change (bp) for Defaults Assuming 100 CPR During YM (Yield Curve -100 bp) -129 -263 -403 -550
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
ScenarioPrePay Assumptn Yield Default AssumptPrepay when ...
# Unit Rate Shock Unit Rate Yield Wal ModDur Sprd(bp)TSY Mat Win BegWin End
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 CPR 0.00% 0.00% CDR 0.00% After All Penalties 9.636 9.486 4.119 429 9.49 6/15/99 2/15/29
2 CPR 10.00% 0.00% CDR 0.00% After All Penalties 9.630 9.483 4.118 429 9.48 6/15/99 2/15/29
3 CPR 50.00% 0.00% CDR 0.00% After All Penalties 9.602 9.464 4.116 426 9.46 6/15/99 2/15/29
4 CPR 100.00% 0.00% CDR 0.00% After All Penalties 9.378 9.306 4.096 404 9.31 6/15/99 2/15/29
5 CPR 10.00% 0.00% CDR 0.00% After Yield Maintenance9.602 9.460 4.106 426 9.46 6/15/99 2/15/29
6 CPR 50.00% 0.00% CDR 0.00% After Yield Maintenance9.532 9.414 4.089 419 9.41 6/15/99 7/15/27
7 CPR 100.00% 0.00% CDR 0.00% After Yield Maintenance9.285 9.244 4.063 395 9.24 6/15/99 9/15/23
8 CPR 10.00% 0.00% CDR 0.00% After Lock Out Periods 9.865 9.186 3.999 453 9.19 6/15/99 2/15/29
9 CPR 50.00% 0.00% CDR 0.00% After Lock Out Periods10.313 8.773 3.762 499 8.77 6/15/99 12/15/26
10 CPR 100.00% 0.00% CDR 0.00% After Lock Out Periods10.407 8.485 3.576 509 8.49 6/15/99 9/15/23
11 CPR 10.00% -1.00% CDR 0.00% After Lock Out Periods 9.918 9.186 3.998 458 9.19 6/15/99 2/15/29
12 CPR 50.00% -1.00% CDR 0.00% After Lock Out Periods10.423 8.773 3.748 510 8.77 6/15/99 12/15/26
13 CPR 100.00% -1.00% CDR 0.00% After Lock Out Periods10.570 8.485 3.551 525 8.49 6/15/99 9/15/23
14 CPR 10.00% 1.00% CDR 0.00% After Lock Out Periods 9.807 9.186 4.001 447 9.19 6/15/99 2/15/29
15 CPR 50.00% 1.00% CDR 0.00% After Lock Out Periods10.178 8.773 3.781 485 8.77 6/15/99 12/15/26
16 CPR 100.00% 1.00% CDR 0.00% After Lock Out Periods10.201 8.485 3.609 488 8.49 6/15/99 9/15/23
17 CPR 10.00% 2.00% CDR 0.00% After Lock Out Periods 9.181 9.186 4.070 385 9.19 6/15/99 2/15/29
18 CPR 50.00% 2.00% CDR 0.00% After Lock Out Periods 8.447 8.773 4.030 312 8.77 6/15/99 12/15/26
19 CPR 100.00% 2.00% CDR 0.00% After Lock Out Periods 7.842 8.485 4.019 253 8.49 6/15/99 9/15/23
20 CPR 0.00% 0.00% CDR 1.00% After All Penalties 8.225 9.012 4.153 289 9.01 6/15/99 2/15/29
21 CPR 0.00% 0.00% CDR 2.00% After All Penalties 6.794 8.568 4.183 148 8.57 6/15/99 2/15/29
22 CPR 0.00% 0.00% CDR 3.00% After All Penalties 5.343 8.151 4.208 4 8.15 6/15/99 2/15/29
23 CPR 0.00% 0.00% CDR 4.00% After All Penalties 3.812 7.759 4.215 -148 7.76 6/15/99 2/15/29
24 CPR 100.00% -1.00% CDR 1.00% After Lock Out Periods 9.279 8.085 3.579 397 8.09 6/15/99 9/15/23
25 CPR 100.00% -1.00% CDR 2.00% After Lock Out Periods 7.942 7.709 3.610 265 7.71 6/15/99 9/15/23
26 CPR 100.00% -1.00% CDR 3.00% After Lock Out Periods 6.541 7.354 3.635 126 7.35 6/15/99 9/15/23
27 CPR 100.00% -1.00% CDR 4.00% After Lock Out Periods 5.068 7.020 3.651 -21 7.02 6/15/99 9/15/23
THIS ANALYSIS MUST NOT BE PRINTED WITHOUT THE FOLLOWING INFORMATION:
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely
on, the final prospectus and prospectus supplement (the "Final Prospectus")
relating to the certificates referred to herein (the "Offered Certificates")
in making their investment decision. These Computational Materials have been
based upon the assumptions described above, which most likely will not
represent the actual experience of the Mortgage Pool in the future. No
representation is made herein as to the actual rate or timing of principal
payments or prepayments on any of the underlying Mortgage Loans in the
Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
<PAGE>
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
- --------------------------------------------------------------------------------
The attached tables and statistical analysis (the "Computational Materials")
are privileged and confidential and are intended for use by the addressee
only. These Computational Materials are furnished to you solely by First Union
Capital Markets Corp. and Chase Securities Inc. (collectively, the
"Underwriter") and not by the issuer of the certificates identified above (the
"Offered Certificates") or any other party. The issuer of the Offered
Certificates has not prepared or taken part in the preparation of these
materials. None of the Underwriters, the issuer of the Offered Certificates,
or any other party makes any representation as to the accuracy or completeness
of the information herein. The information herein is preliminary, and will be
superseded by the applicable prospectus supplement and by any other
information subsequently filed with the Securities and Exchange Commission.
The information herein may not be provided to any third party other than the
addressee's legal, tax, financial and/or accounting advisors for the purposes
of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in
any particular context; or as to whether the Computational Materials reflect
future performance. These Computational Materials should not be construed as
either a prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower
or faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the Offered Certificates may differ from those shown in the
Computational Materials due to difference between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the
Computational Materials are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange
Commission and is effective, the final prospectus supplement relating to the
Offered Certificates has not been filed with the Securities and Exchange
Commission. This communication shall not constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the Offered
Certificates in any state in which such offer, solicitation or sale would be
unlawful prior to registration or qualification under the securities laws of
any such state. Prospective purchasers are referred to the final prospectus
and prospectus supplement relating to the Offered Certificates for definitive
terms of the Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not
be appropriate for all investors. Potential investors must be willing to
assume, among other things, market price volatility, prepayments, yield curve
and interest rate risks. Investors should fully consider the risk of an
investment in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class D--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $14,769,120.00 Settle at Pricing
Coupon 6.86 Original Balance $14,769,120.00 Accrual begins 5/1/99
Delay 14 Current Balance $14,769,120.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN FIX
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
0CPR ym;
EXT12mo 100%
0% rules;
0CDR, 0%
adv100% lag0; 100CPR after
Price bp and Loan LO
Yield Yield
99-30+ 6.9294 6.9269
100-00+ 6.9210 6.9178
100-02+ 6.9127 6.9088
100-04+ 6.9044 6.8998
100-06+ 6.8960 6.8908
100-08+ 6.8877 6.8817
100-10+ 6.8794 6.8727
100-12+ 6.8711 6.8637
100-14+ 6.8628 6.8547
100-16+ 6.8545 6.8458
100-18+ 6.8462 6.8368
100-20+ 6.8380 6.8278
100-22+ 6.8297 6.8188
100-24+ 6.8214 6.8099
100-26+ 6.8132 6.8009
100-28+ 6.8049 6.7920
100-30+ 6.7967 6.7831
Spread @ Center Price 149 150
WAL 10.94884 9.73610
Mod Durn 7.478 6.896
Mod Convexity 0.697 0.581
Principal Window Apr10 to May10 Feb09 to Feb09
Maturity #mos 132 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%)
Loan Overrides Apply
Prepay At 0 CPR At 100 CPR
No prepays During any YM
Lockout and penalties Include penalty Include penalty
Extension, if balloon 12 month None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR
Loss Severity 0 0
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 0 mos 12 mos
Optional Redemption
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class E--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $41,353,533.0 Settle at Pricing
Coupon 0 Original Balance $41,353,533.0 Accrual begins 5/1/99
Delay 14 Current Balance $41,353,533.0 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN WAC
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
0CPR ym;
EXT12mo 100%
0% rules;
0CDR, 0%
adv100% lag0; 100CPR after
Price bp and Loan LO
Yield Yield
99-25+ 7.4294 7.4246
99-27+ 7.4208 7.4153
99-29+ 7.4123 7.4061
99-31+ 7.4038 7.3968
100-01+ 7.3952 7.3876
100-03+ 7.3867 7.3784
100-05+ 7.3782 7.3692
100-07+ 7.3697 7.3599
100-09+ 7.3612 7.3507
100-11+ 7.3527 7.3415
100-13+ 7.3443 7.3323
100-15+ 7.3358 7.3232
100-17+ 7.3273 7.3140
100-19+ 7.3189 7.3048
100-21+ 7.3104 7.2957
100-23+ 7.3020 7.2865
100-25+ 7.2935 7.2774
Spread @ Center Price 199 200
WAL 10.98611 9.73610
Mod Durn 7.312 6.745
Mod Convexity 0.676 0.562
Principal Window May10 to May10 Feb09 to Feb09
Maturity #mos 132 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%)
Loan Overrides Apply
Prepay At 0 CPR At 100 CPR
No prepays During any YM
Lockout and penalties Include penalty Include penalty
Extension, if balloon 12 month None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR
Loss Severity 0 0
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 0 mos 12 mos
Optional Redemption
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class F--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $17,722,943.0 Settle at Pricing
Coupon 0 Original Balance $17,722,943.0 Accrual begins 5/1/99
Delay 14 Current Balance $17,722,943.0 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN WAC
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
0CPR ym;
EXT12mo 100%
0% rules;
0CDR, 0%
adv100% lag0; 100CPR after
Price bp and Loan LO
Yield Yield
94-01+ 8.2434 8.3102
94-03+ 8.2342 8.3002
94-05+ 8.2250 8.2902
94-07+ 8.2158 8.2802
94-09+ 8.2066 8.2702
94-11+ 8.1974 8.2603
94-13+ 8.1883 8.2503
94-15+ 8.1791 8.2404
94-17+ 8.1700 8.2304
94-19+ 8.1608 8.2205
94-21+ 8.1517 8.2106
94-23+ 8.1426 8.2006
94-25+ 8.1335 8.1907
94-27+ 8.1244 8.1808
94-29+ 8.1153 8.1709
94-31+ 8.1062 8.1611
95-01+ 8.0971 8.1512
Spread @ Center Price 280 288
WAL 11.05402 9.73610
Mod Durn 7.199 6.624
Mod Convexity 0.663 0.547
Principal Window May10 to Sep10 Feb09 to Feb09
Maturity #mos 136 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%)
Loan Overrides Apply
Prepay At 0 CPR At 100 CPR
No prepays During any YM
Lockout and penal Include penalty Include penalty
Extension, if balloon 12 month None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR
Loss Severity 0 0
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 0 mos 12 mos
Optional Redemption
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely
on, the final prospectus and prospectus supplement (the "Final Prospectus")
relating to the certificates referred to herein (the "Offered Certificates")
in making their investment decision. These Computational Materials have been
based upon the assumptions described above, which most likely will not
represent the actual experience of the Mortgage Pool in the future. No
representation is made herein as to the actual rate or timing of principal
payments or prepayments on any of the underlying Mortgage Loans in the
Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
- --------------------------------------------------------------------------------
The attached tables and statistical analysis (the "Computational Materials")
are privileged and confidential and are intended for use by the addressee
only. These Computational Materials are furnished to you solely by First Union
Capital Markets Corp. and Chase Securities Inc. (collectively, the
"Underwriter") and not by the issuer of the certificates identified above (the
"Offered Certificates") or any other party. The issuer of the Offered
Certificates has not prepared or taken part in the preparation of these
materials. None of the Underwriters, the issuer of the Offered Certificates,
or any other party makes any representation as to the accuracy or completeness
of the information herein. The information herein is preliminary, and will be
superseded by the applicable prospectus supplement and by any other
information subsequently filed with the Securities and Exchange Commission.
The information herein may not be provided to any third party other than the
addressee's legal, tax, financial and/or accounting advisors for the purposes
of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in
any particular context; or as to whether the Computational Materials reflect
future performance. These Computational Materials should not be construed as
either a prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower
or faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the Offered Certificates may differ from those shown in the
Computational Materials due to difference between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the
Computational Materials are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange
Commission and is effective, the final prospectus supplement relating to the
Offered Certificates has not been filed with the Securities and Exchange
Commission. This communication shall not constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the Offered
Certificates in any state in which such offer, solicitation or sale would be
unlawful prior to registration or qualification under the securities laws of
any such state. Prospective purchasers are referred to the final prospectus
and prospectus supplement relating to the Offered Certificates for definitive
terms of the Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not
be appropriate for all investors. Potential investors must be willing to
assume, among other things, market price volatility, prepayments, yield curve
and interest rate risks. Investors should fully consider the risk of an
investment in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class IO--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.0025 Original Balance $1,181,529,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC IO
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222, 10YR=5.357, 30YR=5.677
</TABLE>
<TABLE>
<CAPTION>
0CPR YM; 100CPR YM; 100CPR YM; 0CPR YM; 0CPR YM;
EXT0MO 100% EXT0MO 100% EXT0MO 100% EXT0MO 100% EXT0MO 100%
0% RULES; 0% RULES; 0% RULES; 0% RULES; 0% RULES;
0CDR, 0% 0CDR, 0% 0CDR, 0% 0CDR, 0% 0CDR, 0%
ADV100% LAG12; ADV100% LAG12; ADV100% LAG12; ADV100% LAG12; ADV100% LAG12;
PRICE BP BP BP BP BP
YIELD YIELD
<S> <C> <C> <C> <C> <C>
5-00+ 10.2327 9.8897 11.0950 9.0836 7.9052
5-01 10.1568 9.8128 11.0074 9.0077 7.8291
5-01+ 10.0813 9.7362 10.9203 8.9322 7.7534
5-02 10.0061 9.6600 10.8336 8.8570 7.6782
5-02+ 9.9314 9.5843 10.7474 8.7822 7.6033
5-03 9.8570 9.5089 10.6617 8.7079 7.5288
5-03+ 9.7830 9.4339 10.5764 8.6339 7.4547
5-04 9.7094 9.3592 10.4916 8.5602 7.3809
5-04+ 9.6361 9.2849 10.4072 8.4870 7.3076
5-05 9.5632 9.2110 10.3232 8.4141 7.2346
5-05+ 9.4907 9.1375 10.2397 8.3415 7.1619
5-06 9.4185 9.0643 10.1566 8.2694 7.0897
5-06+ 9.3467 8.9915 10.0740 8.1976 7.0178
5-07 9.2752 8.9191 9.9917 8.1261 6.9462
5-07+ 9.2041 8.8470 9.9099 8.0550 6.8750
5-08 9.1334 8.7752 9.8285 7.9843 6.8042
5-08+ 9.0630 8.7038 9.7476 7.9139 6.7337
Spread @ Center Price 429 395 509 315 198
WAL 9.48647 9.24419 8.48529 9.09821 8.73210
Mod Durn 4.119 4.063 3.576 4.119 4.113
Mod Convexity 0.265 0.255 0.207 0.266 0.266
Principal Window Jun99 Jun99 Jun99 Jun99 Jun99
to Feb 29 to Sep23 to Sep23 to Feb 29 to Feb 29
Maturity #mos 357 292 292 357 357
Total Collat Loss 0.00 0.00 0.00 29,553,816.42 56,671,098.43
(0.00) (0.00%) (0.00%) (2.50) (4.80)
Prepay At 0 CPR At 100 CPR At 100 CPR At 0 CPR At 0 CPR
No prepays During During During During
any YM any YM any YM any YM
Lockout and penalties Include Include Include Include Include
penalty penalty penalty penalty penalty
Extension, if balloon None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 1 CDR At 2 CDR
Loss Severity 0 0 0 30% 30%
Servicer Advances 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I
Recover Lag 12 mos 12 mos 12 mos 12 mos 12 mos
Optional Redemption
Rate Shock
(table continued)
0CPR YM; 100CPR; 60CPR; 80CPR;
EXT0MO 100% EXT0MO 100% EXT0MO 100% EXT0MO 100%
0% RULES; 0% RULES; 0% RULES; 0% RULES;
3CDR, 30% 0CDR, 0% 0CDR, 0% 0CDR, 0%
ADV100% LAG12; ADV100% LAG12; ADV100% LAG12; ADV100% LAG12;
PRICE BP 300BP 300BP 300BP
YIELD
5-00+ 6.6695 7.8783 8.5075 8.3081
5-01 6.5931 7.8024 8.4312 8.2319
5-01+ 6.5171 7.7269 8.3552 8.1562
5-02 6.4415 7.6518 8.2796 8.0808
5-02+ 6.3663 7.5770 8.2044 8.0059
5-03 6.2915 7.5027 8.1296 7.9313
5-03+ 6.2170 7.4287 8.0552 7.8571
5-04 6.1430 7.3551 7.9811 7.7832
5-04+ 6.0693 7.2818 7.9075 7.7098
5-05 5.9960 7.2090 7.8341 7.6367
5-05+ 5.9230 7.1365 7.7612 7.5640
5-06 5.8504 7.0643 7.6886 7.4916
5-06+ 5.7782 6.9925 7.6164 7.4196
5-07 5.7063 6.9211 7.5445 7.3479
5-07+ 5.6348 6.8500 7.4730 7.2766
5-08 5.5637 6.7793 7.4018 7.2057
5-08+ 5.4929 6.7089 7.3310 7.1351
Spread @ Center Price 76 -103 -42 -61
WAL 8.38665 8.48529 8.73185 8.66710
Mod Durn 4.095 4.120 4.095 4.107
Mod Convexity 0.264 0.265 0.262 0.264
Principal Window Jun99 to Jun99 Jun99 Jun99
to Feb 29 to Sep23 to Nov23 to Nov23
Maturity #mos 357 292 294 294
Total Collat Loss 1,554,640.15 0.00 0.00 0.00%
(6.90) (0.00%) (0.00%) (0.00%)
Prepay At 0 CPR At 100 CPR At 60 CPR At 80 CPR
No prepays During
any YM
Lockout and penalties Include Include Include Include
penalty penalty penalty penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 3 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 30% 0% 0% 0%
Servicer Advances 100% of P&I 100% of P&I 100% of P&I 100% of P&I
Recover Lag 12 mos 12 mos 12 mos 12 mos
Optional Redemption
Rate Shock 300 300 300
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
AComputational Materials.
Prospective investors are advised to carefully read, and should rely solely
on, the final prospectus and prospectus supplement (the "Final Prospectus")
relating to the certificates referred to herein (the "Offered Certificates")
in making their investment decision. These Computational Materials have been
based upon the assumptions described above, which most likely will not
represent the actual experience of the Mortgage Pool in the future. No
representation is made herein as to the actual rate or timing of principal
payments or prepayments on any of the underlying Mortgage Loans in the
Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
<PAGE>
FUNB99-C1, Class IO
Tranche Coupon Collateral WAIO Strip
A1 6.38 7.35 0.97
A2 6.68 7.35 0.67
B 6.82 7.35 0.53
C 6.70 7.35 0.65
D 6.70 7.35 0.65
E WAC 7.35 0.05
F WAC 7.35 0.05
G 5.95 7.35 1.40
H 5.95 7.35 1.40
J 5.95 7.35 1.40
K 5.95 7.35 1.40
L 5.95 7.35 1.40
M 5.95 7.35 1.40
N 5.95 7.35 1.40
Subject to final pricing
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely
on, the final prospectus and prospectus supplement (the "Final Prospectus")
relating to the certificates referred to herein (the "Offered Certificates")
in making their investment decision. These Computational Materials have been
based upon the assumptions described above, which most likely will not
represent the actual experience of the Mortgage Pool in the future. No
representation is made herein as to the actual rate or timing of principal
payments or prepayments on any of the underlying Mortgage Loans in the
Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
FUNCM 99-C2 A1 - PREPAYMENTS AFTER LO
- -------------------------------------------------------
CUSIP
Coupon 6.31
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $203,500,000.00
Original Balance $203,500,000.00
Current Balance $203,500,000.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- ------------------------ -------------------- -------------------- ------------------- -------------------- -------------------
PRICE 0CPR 25CPR 50CPR 75CPR 100CPR
Yield Yield Yield Yield Yield
- ------------------------ -------------------- -------------------- ------------------- -------------------- -------------------
<S> <C> <C> <C> <C> <C>
100-15 6.2282 6.7925 7.1436 7.3810 7.6900
100-17 6.2138 6.7733 7.1213 7.3565 7.6618
100-19 6.1995 6.7541 7.0991 7.3319 7.6337
100-21 6.1851 6.7349 7.0769 7.3075 7.6056
100-23 6.1708 6.7157 7.0547 7.2830 7.5775
100-25 6.1564 6.6965 7.0325 7.2585 7.5494
100-27 6.1421 6.6774 7.0104 7.2341 7.5213
100-29 6.1278 6.6582 6.9882 7.2097 7.4933
100-31 6.1135 6.6391 6.9661 7.1853 7.4653
101-01 6.0992 6.6200 6.9440 7.1610 7.4374
101-03 6.0850 6.6009 6.9220 7.1366 7.4094
101-05 6.0707 6.5818 6.8999 7.1123 7.3815
101-07 6.0565 6.5628 6.8779 7.0880 7.3536
101-09 6.0423 6.5437 6.8559 7.0637 7.3257
101-11 6.0280 6.5247 6.8339 7.0395 7.2979
101-13 6.0138 6.5057 6.8119 7.0153 7.2701
101-15 5.9996 6.4867 6.7899 6.9911 7.2423
- ------------------------ -------------------- -------------------- ------------------- -------------------- -------------------
- ------------------------ -------------------- -------------------- ------------------- -------------------- -------------------
Spread @ Center Price 88 148 183 207 237
WAL 5.39180 3.83280 3.25330 2.92350 2.53450
Mod Durn 4.319 3.228 2.792 2.532 2.205
Mod Convexity 0.253 0.135 0.099 0.081 0.062
Principal Window Jun99 to Jun08 Jun99 to Dec05 Jun99 to Mar05 Jun99 to Oct04 Jun99 to Sep04
Maturity #mos 109 79 70 65 64
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos 12 mos
- ------------------------ -------------------- -------------------- ------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 A2 - PREPAYMENTS AFTER LO
- -------------------------------------------------------
CUSIP
Coupon 6.58
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ----------------------- -------------------- -------------------- ------------------- -------------------- --------------------
PRICE 0CPR 25CPR 50CPR 75CPR 100CPR
Yield Yield Yield Yield Yield
- ----------------------- -------------------- -------------------- ------------------- -------------------- --------------------
100-30+ 6.4970 6.5040 6.4997 6.4953 6.4920
101-00+ 6.4881 6.4949 6.4906 6.4861 6.4827
101-02+ 6.4792 6.4859 6.4814 6.4770 6.4734
101-04+ 6.4703 6.4768 6.4723 6.4678 6.4641
101-06+ 6.4614 6.4677 6.4631 6.4586 6.4548
101-08+ 6.4526 6.4587 6.4540 6.4494 6.4455
101-10+ 6.4437 6.4497 6.4449 6.4403 6.4362
101-12+ 6.4348 6.4406 6.4358 6.4311 6.4270
101-14+ 6.4259 6.4316 6.4266 6.4220 6.4177
101-16+ 6.4171 6.4226 6.4175 6.4128 6.4084
101-18+ 6.4082 6.4136 6.4084 6.4037 6.3992
101-20+ 6.3994 6.4046 6.3994 6.3946 6.3899
101-22+ 6.3906 6.3956 6.3903 6.3855 6.3807
101-24+ 6.3817 6.3866 6.3812 6.3764 6.3715
101-26+ 6.3729 6.3776 6.3721 6.3673 6.3622
101-28+ 6.3641 6.3686 6.3631 6.3582 6.3530
101-30+ 6.3553 6.3596 6.3540 6.3491 6.3438
- ----------------------- -------------------- -------------------- ------------------- -------------------- --------------------
- ----------------------- -------------------- -------------------- ------------------- -------------------- --------------------
Spread @ Center Price 108 109 109 109 109
WAL 9.58680 9.36070 9.25380 9.20840 9.04350
Mod Durn 6.930 6.803 6.742 6.717 6.629
Mod Convexity 0.580 0.559 0.550 0.546 0.530
Principal Window Jun08 to Apr09 Dec05 to Apr09 Mar05 to Mar09 Oct04 to Mar09 Sep04 to Jan09
Maturity #mos 119 119 118 118 116
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos 12 mos
- ----------------------- -------------------- -------------------- ------------------- -------------------- --------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2
- -------------------------------------------------------
CUSIP
Coupon 6.58
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ---------------------------------------------
100 CPR UNTIL A1 -
GONE, 0 CPR UNTIL
PRICE OPRN, THEN 100 CPR
Yield
- ---------------------------------------------
100-30+ 6.4893
101-00+ 6.4800
101-02+ 6.4707
101-04+ 6.4614
101-06+ 6.4521
101-08+ 6.4428
101-10+ 6.4335
101-12+ 6.4243
101-14+ 6.4150
101-16+ 6.4057
101-18+ 6.3965
101-20+ 6.3873
101-22+ 6.3780
101-24+ 6.3688
101-26+ 6.3596
101-28+ 6.3504
101-30+ 6.3412
- ---------------------------------------------
- ---------------------------------------------
Spread @ Center Price 108
WAL 9.04995
Mod Durn 6.633
Mod Convexity 0.531
Principal Window Sep04 to Jan09
Maturity #mos 116
Total Collat Loss 0.00 (0.00%)
Prepay At 100 CPR
No prepays During any pts, any YM
Lockout and penalties Include penalty
Extension, if balloon None
Increase Coupon
Pay Exten Princ
Default At 0 CDR
Loss Severity 0
Servicer Advances 100% of P & I
Recovery Lag 0 mos
- ---------------------------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
</TABLE>
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
- -------------------------------------------------------------------------------
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
- -------------------------------------------------------------------------------
FUCMC Bond Analyzer CMBS Sensitivity Analysis
------------------
Issue FUNCM 99C2
------------------
Tranche IO
Cusip
Price 5-4+
Settle Date 5/20/99
Price Date
Yield Curve
-------------------------------------------------------
3MO 6MO 1YR 2YR 5YR 10YR 30YR
-------------------------------------------------------
4.776 4.776 4.776 5.071 5.222 5.357 5.677
-------------------------------------------------------
<TABLE>
<CAPTION>
10% CPR 50% CPR 100% CPR
------- ------- --------
<S> <C> <C> <C>
Yield Change (bp) for Prepayments After LO,YM, and Penalties -1 -3 -26
Yield Change (bp) Prepayments during Penalty Period -3 -10 -35
Yield Change (bp) for Prepayments during YM (Yield Curve Unch) 23 68 78
Yield Change (bp) for Prepayments during YM (Yield Curve -100bp) 29 79 94
Yield Change (bp) for Prepayments during YM (Yield Curve +100bp) 18 55 57
Yield Change (bp) for Prepayments-180ing YM (Yield Curve +200bp) -45 -119 -180
</TABLE>
<TABLE>
<CAPTION>
1% CDR 2% CDR 3% CDR 4% CDR
------ ------ ------ ------
<S> <C> <C> <C> <C>
Yield Change (bp) for Defaults Assuming No Prepayments -142 -286 -432 -587
Yield Change (bp) for Defaults Assuming 100 CPR During YM
(Yield Curve-100 bp) -129 -264 -405 -555
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
ScenarioPrePay Assumptn Yield Default AssumptPrepay when ...
# Unit Rate Shock Unit Rate Yield Wal ModDur Sprd(bp)TSY Mat Win Beg Win End
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 CPR 0.00% 0.00% CDR 0.00% After All Penalties 9.616 9.466 4.107 427 9.47 6/15/993/15/19
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
2 CPR 10.00% 0.00% CDR 0.00% After All Penalties 9.611 9.463 4.107 427 9.46 6/15/993/15/19
3 CPR 50.00% 0.00% CDR 0.00% After All Penalties 9.582 9.444 4.104 424 9.44 6/15/993/15/19
4 CPR 100.00% 0.00% CDR 0.00% After All Penalties 9.358 9.288 4.085 402 9.29 6/15/993/15/19
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
5 CPR 10.00% 0.00% CDR 0.00% After Yield Maintenance9.586 9.444 4.098 424 9.44 6/15/9910/15/18
6 CPR 50.00% 0.00% CDR 0.00% After Yield Maintenance9.518 9.398 4.082 418 9.40 6/15/996/15/18
7 CPR 100.00% 0.00% CDR 0.00% After Yield Maintenance9.269 9.227 4.054 393 9.23 6/15/994/15/18
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
8 CPR 10.00% 0.00% CDR 0.00% After Lock Out Periods 9.851 9.170 3.992 452 9.17 6/15/9910/15/18
9 CPR 50.00% 0.00% CDR 0.00% After Lock Out Periods10.300 8.757 3.756 498 8.76 6/15/996/15/18
10 CPR 100.00% 0.00% CDR 0.00% After Lock Out Periods10.392 8.468 3.569 508 8.47 6/15/994/15/18
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
11 CPR 10.00% -1.00% CDR 0.00% After Lock Out Periods 9.904 9.170 3.990 457 9.17 6/15/9910/15/18
12 CPR 50.00% -1.00% CDR 0.00% After Lock Out Periods10.410 8.757 3.741 509 8.76 6/15/996/15/18
13 CPR 100.00% -1.00% CDR 0.00% After Lock Out Periods10.555 8.468 3.544 524 8.47 6/15/994/15/18
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
14 CPR 10.00% 1.00% CDR 0.00% After Lock Out Periods 9.792 9.170 3.994 446 9.17 6/15/9910/15/18
15 CPR 50.00% 1.00% CDR 0.00% After Lock Out Periods10.165 8.757 3.774 484 8.76 6/15/996/15/18
16 CPR 100.00% 1.00% CDR 0.00% After Lock Out Periods10.186 8.468 3.602 487 8.47 6/15/994/15/18
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
17 CPR 10.00% 2.00% CDR 0.00% After Lock Out Periods 9.165 9.170 4.062 383 9.17 6/15/9910/15/18
18 CPR 50.00% 2.00% CDR 0.00% After Lock Out Periods 8.429 8.757 4.021 311 8.76 6/15/996/15/18
19 CPR 100.00% 2.00% CDR 0.00% After Lock Out Periods 7.820 8.468 4.008 250 8.47 6/15/994/15/18
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
20 CPR 0.00% 0.00% CDR 1.00% After All Penalties 8.199 8.993 4.138 287 8.99 6/15/9910/15/18
21 CPR 0.00% 0.00% CDR 2.00% After All Penalties 6.761 8.549 4.164 144 8.55 6/15/996/15/18
22 CPR 0.00% 0.00% CDR 3.00% After All Penalties 5.297 8.131 4.183 -1 8.13 6/15/9912/15/17
23 CPR 0.00% 0.00% CDR 4.00% After All Penalties 3.745 7.738 4.179 -155 7.74 6/15/995/15/17
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
24 CPR 100.00% -1.00% CDR 1.00% After Lock Out Periods 9.261 8.068 3.570 396 8.07 6/15/9912/15/17
25 CPR 100.00% -1.00% CDR 2.00% After Lock Out Periods 7.915 7.690 3.597 262 7.69 6/15/995/15/17
26 CPR 100.00% -1.00% CDR 3.00% After Lock Out Periods 6.501 7.333 3.617 122 7.33 6/15/9910/15/16
27 CPR 100.00% -1.00% CDR 4.00% After Lock Out Periods 5.007 6.995 3.625 -27 7.00 6/15/991/15/16
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
THIS ANALYSIS MUST NOT BE PRINTED WITHOUT THE FOLLOWING INFORMATION:
- --------------------------------------------------------------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
- -------------------------------------------------------------------------------
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<TABLE>
<CAPTION>
FUNCM 99-C2 A2 - Prepayments after LO
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.58 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333,
5YR=5.222, 10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Price 0CPR 10CPR 15CPR 25CPR 50CPR 75CPR 100CPR
Yield Yield Yield Yield Yield Yield Yield
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
100-30+ 6.4970 6.5005 6.5028 6.5040 6.4997 6.4953 6.4920
101-00+ 6.4881 6.4915 6.4938 6.4949 6.4906 6.4861 6.4827
101-02+ 6.4792 6.4826 6.4848 6.4859 6.4814 6.4770 6.4734
101-04+ 6.4703 6.4736 6.4758 6.4768 6.4723 6.4678 6.4641
101-06+ 6.4614 6.4647 6.4668 6.4677 6.4631 6.4586 6.4548
101-08+ 6.4526 6.4557 6.4578 6.4587 6.4540 6.4494 6.4455
101-10+ 6.4437 6.4468 6.4489 6.4497 6.4449 6.4403 6.4362
101-12+ 6.4348 6.4379 6.4399 6.4406 6.4358 6.4311 6.4270
101-14+ 6.4259 6.4289 6.4309 6.4316 6.4266 6.4220 6.4177
101-16+ 6.4171 6.4200 6.4220 6.4226 6.4175 6.4128 6.4084
101-18+ 6.4082 6.4111 6.4130 6.4136 6.4084 6.4037 6.3992
101-20+ 6.3994 6.4022 6.4041 6.4046 6.3994 6.3946 6.3899
101-22+ 6.3906 6.3933 6.3952 6.3956 6.3903 6.3855 6.3807
101-24+ 6.3817 6.3844 6.3862 6.3866 6.3812 6.3764 6.3715
101-26+ 6.3729 6.3756 6.3773 6.3776 6.3721 6.3673 6.3622
101-28+ 6.3641 6.3667 6.3684 6.3686 6.3631 6.3582 6.3530
101-30+ 6.3553 6.3578 6.3595 6.3596 6.3540 6.3491 6.3438
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
Spread @ Center Price 108 109 109 109 109 109 109
WAL 9.58680 9.50320 9.45040 9.36070 9.25380 9.20840 9.04350
Mod Durn 6.930 6.884 6.855 6.803 6.742 6.717 6.629
Mod Convexity 0.580 0.572 0.567 0.559 0.550 0.546 0.530
Principal Window Jun08 Feb07 Jul06 Dec05 Mar05 Oct04 Sep04
to Apr09 to Apr09 to Apr09 to Apr09 to Mar09 to Mar09 to Jan09
Maturity #mos 119 119 119 119 118 118 116
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penaltities Include Include Include Include Include Include Include
penalty penalty penalty penalty penalty penalty penalty
Extension, if balloon None None None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0 0 0
Servicer Advances 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I
Recovery Lag 12 mos 12 mos 12 mos 12 mos 12 mos 12 mos 12 mos
</TABLE>
- --------------------------------------------------------------------------------
Investors should read the Underwriter's Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<TABLE>
<CAPTION>
FUNCM 99-C2 A2 - Prepayments after YM
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.58 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333,
5YR=5.222, 10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Price 0CPR ym 10CPR ym 15CPR ym 25CPR ym 50CPR ym 75CPR ym 100CPR ym
Yield Yield Yield Yield Yield Yield Yield
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
100-30+ 6.4970 6.4970 6.4969 6.4969 6.4966 6.4963 6.4938
101-00+ 6.4881 6.4881 6.4880 6.4879 6.4877 6.4873 6.4847
101-02+ 6.4792 6.4792 6.4791 6.4790 6.4788 6.4784 6.4757
101-04+ 6.4703 6.4703 6.4702 6.4701 6.4698 6.4694 6.4666
101-06+ 6.4614 6.4614 6.4613 6.4612 6.4609 6.4605 6.4575
101-08+ 6.4526 6.4525 6.4524 6.4523 6.4520 6.4516 6.4485
101-10+ 6.4437 6.4436 6.4435 6.4434 6.4431 6.4426 6.4394
101-12+ 6.4348 6.4347 6.4347 6.4346 6.4342 6.4337 6.4304
101-14+ 6.4259 6.4259 6.4258 6.4257 6.4253 6.4248 6.4214
101-16+ 6.4171 6.4170 6.4169 6.4168 6.4165 6.4159 6.4123
101-18+ 6.4082 6.4081 6.4081 6.4080 6.4076 6.4070 6.4033
101-20+ 6.3994 6.3993 6.3992 6.3991 6.3987 6.3982 6.3943
101-22+ 6.3906 6.3905 6.3904 6.3903 6.3899 6.3893 6.3853
101-24+ 6.3817 6.3816 6.3816 6.3814 6.3810 6.3804 6.3763
101-26+ 6.3729 6.3728 6.3727 6.3726 6.3722 6.3715 6.3673
101-28+ 6.3641 6.3640 6.3639 6.3638 6.3633 6.3627 6.3584
101-30+ 6.3553 6.3552 6.3551 6.3550 6.3545 6.3538 6.3494
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Spread @ Center Price 108 108 108 108 108 108 108
WAL 9.58680 9.58130 9.57850 9.57230 9.55320 9.52420 9.34190
Mod Durn 6.930 6.927 6.925 6.922 6.912 6.897 6.801
Mod Convexity 0.580 0.580 0.579 0.579 0.577 0.574 0.557
Principal Window Jun08 Jun8 Jun08 Jun08 May08 Apr08 Feb08
to Apr09 to Apr09 to Apr09 to Apr09 to Apr09 to Apr09 to Feb09
Maturity #mos 119 119 119 119 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM During any YM During any YM During any YM During any YM
Lockout and penaltities Include Include Include Include Include Include Include
penalty penalty penalty penalty penalty penalty penalty
Extension, if balloon None None None None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0 0 0
Servicer Advances 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I
Recovery Lag 12 mos 12 mos 12 mos 12 mos 12 mos 12 mos 12 mos
</TABLE>
- -------------------------------------------------------------------------------
Investors should read the Underwriter's Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
FUNCM99C2_RED, Class A2--Price/Yield
- --------------------------------------------------------------------------------
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.58 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
Price 0CPR ym; 10CPR ym; 15CPR ym; 25CPR ym; 50CPR ym; 75CPR ym; 100CPR ym;
Ext0mo 100% Ext0mo 100% Ext0mo 100% Ext0mo 100% Ext0mo 100% Ext0mo 100% ExtOmo 100%;
0% rules; 0% rules; 0% rules; 0% rules; 0% rules; 0% rules; 0% rules;
OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0%
adv100% lag0; adv100% lag0; adv100% lag0; adv100% lagO; adv100% lag0; adv100% lag0; adv100% lag0;
bp and Loan bp and Loan bp and Loan bp and Loan bp and Loan bp and Loan bp and Loan
Yield
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
100-30+ 6.5085 6.5074 6.5069 6.5057 6.5027 6.4996 6.4938
101-00+ 6.5002 6.4990 6.4985 6.4973 6.4941 6.4908 6.4848
101-02+ 6.4919 6.4907 6.4900 6.4888 6.4855 6.4820 6.4757
101-04+ 6.4835 6.4823 6.4817 6.4804 6.4769 6.4732 6.4666
101-06+ 6.4752 6.4739 6.4733 6.4719 6.4683 6.4645 6.4576
101-08+ 6.4669 6.4656 6.4649 6.4635 6.4597 6.4557 6.4485
101-10+ 6.4587 6.4572 6.4565 6.4550 6.4511 6.4469 6.4395
101-12+ 6.4504 6.4489 6.4481 6.4466 6.4425 6.4382 6.4304
101-14+ 6.4421 6.4406 6.4398 6.4382 6.4339 6.4295 6.4214
101-16+ 6.4338 6.4322 6.4314 6.4298 6.4254 6.4207 6.4124
101-18+ 6.4256 6.4239 6.4231 6.4214 6.4168 6.4120 6.4034
101-20+ 6.4173 6.4156 6.4147 6.4130 6.4082 6.4033 6.3944
101-22+ 6.4090 6.4073 6.4064 6.4046 6.3997 6.3946 6.3854
101-24+ 6.4008 6.3990 6.3981 6.3962 6.3912 6.3859 6.3764
101-26+ 6.3926 6.3907 6.3897 6.3878 6.3826 6.3772 6.3674
101-28+ 6.3843 6.3824 6.3814 6.3794 6.3741 6.3685 6.3584
101-30+ 6.3761 6.3741 6.3731 6.3711 6.3656 6.3598 6.3494
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
Spread @ Center Price 108 108 108 108 108 108 108
WAL 10.55724 10.45827 10.40734 10.30630 10.04414 9.78161 9.34329
Mod Durn 7.420 7.370 7.345 7.294 7.162 7.029 6.802
Mod Convexity 0.676 0.666 0.661 0.651 0.625 0.599 0.557
Principal Window Dec08 to Sep08 to Aug08 to Jul08 to Jun08 to Apr08 to Feb08 to
Apr10 Apr10 Apr10 Mar10 Feb10 Nov09 Feb09
Maturity #mos 131 131 131 130 129 126 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Loan Overrides Apply
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM During any YM During any YM During any YM During any YM
Lockout and penalties Include Include Include Include Include Include Include
penalty penalty penalty penalty penalty penalty penalty
Extension, if balloon 12 month 12 month 12 month 12 month 12 month 12 month 12 month
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0 0 0
Servicer Advances 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I
Recovery Lag 0 mos 0 mos 0 mos 0 mos 0 mos 0 mos 0 mos
Optional Redemption
</TABLE>
- -------------------------------------------------------------------------------
Investors should read the Underwriter's Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
FUNCM99C2_RED, Class A2--Price/Yield
- --------------------------------------------------------------------------------
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.58 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
Price 0CPR ym; 10CPR ym; 15CPR ym; 25CPR ym; 50CPR ym; 75CPR ym; 100CPR ym;
Ext0mo 100% Ext0mo 100% Ext0mo 100% Ext0mo 100% Ext0mo 100% Ext0mo 100% ExtOmo 100%;
0% rules; 0% rules; 0% rules; 0% rules; 0% rules; 0% rules; 0% rules;
OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0%
adv100% lag0; adv100% lag0; adv100% lag0; adv100% lag0; adv100% lag0; adv100% lag0; adv100% lag0;
bp and Loan bp and Loan bp and Loan bp and Loan bp and Loan bp and Loan bp and Loan
Yield
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
100-30+ 6.5016 6.5010 6.5007 6.5002 6.4987 6.4974 6.4938
101-00+ 6.4929 6.4923 6.4920 6.4914 6.4899 6.4885 6.4847
101-02+ 6.4842 6.4836 6.4833 6.4827 6.4811 6.4796 6.4757
101-04+ 6.4756 6.4749 6.4746 6.4739 6.4723 6.4708 6.4666
101-06+ 6.4669 6.4662 6.4659 6.4652 6.4635 6.4619 6.4576
101-08+ 6.4583 6.4575 6.4572 6.4565 6.4547 6.4530 6.4485
101-10+ 6.4496 6.4489 6.4485 6.4477 6.4459 6.4442 6.4395
101-12+ 6.4410 6.4402 6.4398 6.4390 6.4371 6.4353 6.4304
101-14+ 6.4324 6.4315 6.4311 6.4303 6.4283 6.4265 6.4214
101-16+ 6.4237 6.4229 6.4225 6.4216 6.4195 6.4176 6.4124
101-18+ 6.4151 6.4142 6.4138 6.4129 6.4108 6.4088 6.4033
101-20+ 6.4065 6.4056 6.4051 6.4043 6.4020 6.4000 6.3943
101-22+ 6.3979 6.3970 6.3965 6.3956 6.3933 6.3911 6.3853
101-24+ 6.3893 6.3883 6.3878 6.3869 6.3845 6.3823 6.3763
101-26+ 6.3807 6.3797 6.3792 6.3782 6.3758 6.3735 6.3674
101-28+ 6.3721 6.3711 6.3706 6.3696 6.3670 6.3647 6.3584
101-30+ 6.3636 6.3625 6.3620 6.3609 6.3583 6.3559 6.3494
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
Spread @ Center Price 108 108 108 108 108 108 108
WAL 9.95346 9.90397 9.88016 9.83320 9.71646 9.61292 9.34259
Mod Durn 7.116 7.091 7.079 7.055 6.996 6.943 6.801
Mod Convexity 0.616 0.611 0.609 0.604 0.593 0.583 0.557
Principal Window Jun08 Jun08 Jun08 Jun08 May08 Apr08 Feb08
to Mar10 to Jan10 to Jan10 to Dec09 to Oct09 to Jun09 to Feb09
Maturity #mos 130 128 128 127 125 121 117
Total Collat Loss 0.00 (0.00%)0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)0.00 (0.00%) 0.00 (0.00%)
Loan Overrides Apply
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays During During During During During During During
any YM any YM any YM any YM any YM any YM any YM
Lockout and penalties Include Include Include Include Include Include Include
penalty penalty penalty penalty penalty penalty penalty
Extension, if balloon 12 month 50% 12 month 50% 12 month 50% 12 month 50% 12 month 50% 12 month 50% 12 month 50%
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0 0 0
Servicer Advances 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I 100% of P&I
Recovery Lag 0 mos 0 mos 0 mos 0 mos 0 mos 0 mos 0 mos
Optional Redemption
</TABLE>
- ------------------------------------------------------------------------------
Investors should read the Underwriter's Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
FUNCM99C2_RED, Class A2--Price/Yield
- --------------------------------------------------------------------------------
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.58 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
OCPR ym; Ext0mo OCPR ym; Ext0mo OCPR ym; Ext0mo OCPR ym; Ext0mo OCPR ym; Ext0mo OCPR ym; Ext0mo
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
1CDR, 75% adv100% 3CDR, 75%adv100% 5CDR,75%adv100% 1CDR,50%adv100% 3CDR,50%adv100% 5CDR,50%adv100%
lag12;bp lag12;bp lag12;bp lag12;bp lag12;bp lag12;bp
Price Yield
<S> <C> <C> <C> <C> <C> <C>
100-30+ 6.4972 6.4973 6.4284 6.4966 6.4941 6.4905
101-00+ 6.4883 6.4884 6.4198 6.4877 6.4850 6.4813
101-02+ 6.4794 6.4795 6.4111 6.4788 6.4760 6.4720
101-04+ 6.4705 6.4706 6.4024 6.4699 6.4669 6.4628
101-06+ 6.4616 6.4618 6.3938 6.4610 6.4579 6.4536
101-08+ 6.4527 6.4529 6.3851 6.4521 6.4488 6.4443
101-10+ 6.4439 6.4440 6.3765 6.4432 6.4398 6.4351
101-12+ 6.4350 6.4352 6.3678 6.4343 6.4308 6.4259
101-14+ 6.4261 6.4263 6.3592 6.4254 6.4218 6.4167
101-16+ 6.4173 6.4175 6.3506 6.4165 6.4128 6.4075
101-18+ 6.4084 6.4086 6.3420 6.4076 6.4038 6.3984
101-20+ 6.3996 6.3998 6.3333 6.3988 6.3948 6.3892
101-22+ 6.3908 6.3910 6.3247 6.3899 6.3858 6.3800
101-24+ 6.3820 6.3822 6.3161 6.3811 6.3768 6.3709
101-26+ 6.3731 6.3734 6.3076 6.3722 6.3678 6.3617
101-28+ 6.3643 6.3646 6.2990 6.3634 6.3589 6.3526
101-30+ 6.3555 6.3558 6.2904 6.3546 6.3499 6.3434
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
Spread @ Center Price 108 108 100 108 108 108
WAL 9.59712 9.60805 10.08577 9.55718 9.38001 9.14834
Mod Durn 6.935 6.940 7.115 6.914 6.814 6.679
Mod Convexity 0.581 0.582 0.627 0.577 0.561 0.541
Principal Window May08 to Apr09 Aug07 to May09 Nov06 to Feb29 Sep07 to Apr09 Dec05 to Apr09 Dec04 to May09
Maturity #mos 119 120 357 119 119 120
Total Collat Loss 73,839,745.15 203,790,936.55 313,243,114.10 49,250,478.92 135,911,881.18 208,889,402.11
(6.25%) (17.25%) (26.51%) (4.17%) (11.50%) (17.68%)
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays During any YM During any YM During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None None None
Increase Coupon
Pay Exten Princ
Default At 1 CDR At 3 CDR At 5 CDR At 1 CDR At 3 CDR At 5 CDR
Loss Severity 0.75 0.75 0.75 0.5 0.5 0.5
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos 12 mos 12 mos
</TABLE>
Optional Redemption
Investors should read the Underwriter's Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
- -------------------------------------------------------------------------------
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
FUNCM99C2_RED, Class A2--Price/Yield
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.58 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333,
5YR=5.222, 10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
100 CPR;
OCPR; Ex0mo 25CPR; Ext0mo 50CPR; Ext0mo 75CPR; Ext0mo Ext0mo 100%
100%, 0% rules; 100%, 0% rules; 100% 0% rules; 100% 0% rules; 0% rules;
OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0%
adv100% lag12; adv100%lag12; adv00%lag12; adv100%lag12; adv100%lag12;
bp bp bp bp bp
Price Yield
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
100-30+ 6.4970 6.5040 6.4997 6.4953 6.4920
101-00+ 6.4881 6.4949 6.4906 6.4861 6.4827
101-02+ 6.4792 6.4859 6.4814 6.4770 6.4734
101-04+ 6.4703 6.4768 6.4723 6.4678 6.4641
101-06+ 6.4614 6.4677 6.4631 6.4586 6.4548
101-08+ 6.4526 6.4587 6.4540 6.4494 6.4455
101-10+ 6.4437 6.4497 6.4449 6.4403 6.4362
101-12+ 6.4348 6.4406 6.4358 6.4311 6.4270
101-14+ 6.4259 6.4316 6.4266 6.4220 6.4177
101-16+ 6.4171 6.4226 6.4175 6.4128 6.4084
101-18+ 6.4082 6.4136 6.4084 6.4037 6.3992
101-20+ 6.3994 6.4046 6.3994 6.3946 6.3899
101-22+ 6.3906 6.3956 6.3903 6.3855 6.3807
101-24+ 6.3817 6.3866 6.3812 6.3764 6.3715
101-26+ 6.3729 6.3776 6.3721 6.3673 6.3622
101-28+ 6.3641 6.3686 6.3631 6.3582 6.3530
101-30+ 6.3553 6.3596 6.3540 6.3491 6.3438
Spread @ Center 108 109 109 109 109
Price
WAL 9.58679 9.36067 9.25383 9.20838 9.04353
Mod Durn 6.930 6.803 6.742 6.717 6.629
Mod Convexity 0.580 0.559 0.550 0.546 0.530
Principal Window Jun08 to Apr09 Dec05 to Apr09 Mar05 to Mar09 Oct04 to Mar09 Sep04 to Jan09
Maturity #mos 119 119 118 118 116
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and Include penalty Include penalty Include penalty Include penalty Include penalty
penalties
Extension, if None None None None None
balloon
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos 12 mos
Optional Redemption
</TABLE>
- -------------------------------------------------------------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class B--Price/Yield
<S> <C> <C> <C> <C> <C>
CUSIP Face $47,261,182.00 Settle at Pricing
Coupon 6.7 Original Balance $47,261,182.00 Accrual begins 5/1/99
Delay 14 Current Balance $47,261,182.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN FIX
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Price 0CPR; Ext0mo 100% 25CPR; Ext0mo 50CPR; Ext0mo 75CPR; Ext0mo 100CPR; Ext0mo 100%
100%, 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0%
adv100% lag12; adv100%lag12; adv100% lag12; adv100%lag12; adv100%lag12;
bp bp bp bp bp
Yield
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
100-30+ 6.6228 6.6230 6.6227 6.6222 6.6205
101-00+ 6.6140 6.6143 6.6140 6.6134 6.6116
101-02+ 6.6053 6.6055 6.6052 6.6046 6.6028
101-04+ 6.5965 6.5968 6.5965 6.5958 6.5939
101-06+ 6.5878 6.5881 6.5877 6.5871 6.5850
101-08+ 6.5791 6.5793 6.5790 6.5783 6.5762
101-10+ 6.5703 6.5706 6.5703 6.5695 6.5674
101-12+ 6.5616 6.5619 6.5615 6.5608 6.5585
101-14+ 6.5529 6.5532 6.5528 6.5521 6.5497
101-16+ 6.5442 6.5445 6.5441 6.5433 6.5409
101-18+ 6.5355 6.5358 6.5354 6.5346 6.5321
101-20+ 6.5268 6.5271 6.5267 6.5259 6.5233
101-22+ 6.5181 6.5184 6.5180 6.5172 6.5145
101-24+ 6.5095 6.5097 6.5093 6.5085 6.5057
101-26+ 6.5008 6.5011 6.5007 6.4998 6.4969
101-28+ 6.4921 6.4924 6.4920 6.4911 6.4881
101-30+ 6.4835 6.4838 6.4833 6.4824 6.4794
Spread @ Center 120 120 120 120 120
Price
WAL 9.90278 9.90278 9.89119 9.85043 9.72057
Mod Durn 7.053 7.053 7.047 7.026 6.960
Mod Convexity 0.606 0.606 0.605 0.601 0.588
Principal Window Apr09 to Apr09 Apr09 to Apr09 Mar09 to Apr09 Mar09 to Apr09 Jan09 to Feb09
Maturity #mos 119 119 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and Include penalty Include penalty Include penalty Include penalty Include penalty
penalties
Extension, if None None None None None
balloon
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos 12 mos
Optional Redemption
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
FUNCM99C2_RED, Class C--Price/Yield
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $62,030,300.00 Settle at Pricing
Coupon 6.76 Original Balance $62,030,300.00 Accrual begins 5/1/99
Delay 14 Current Balance $62,030,300.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN FIX
- ----------------------------------------
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Price 0CPR; Ext0mo 100% 25CPR; Ext0mo 50CPR; Ext0mo 75CPR; Ext0mo 100CPR; Ext0mo 100%
100%, 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0%
adv100% lag12; adv100%lag12; adv100% lag12; adv100%lag12; adv100%lag12;
bp bp bp bp bp
Yield
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
100-14 6.7564 6.7566 6.7565 6.7564 6.7552
100-16 6.7475 6.7478 6.7476 6.7476 6.7462
100-18 6.7387 6.7390 6.7388 6.7387 6.7373
100-20 6.7299 6.7301 6.7300 6.7299 6.7283
100-22 6.7211 6.7213 6.7211 6.7211 6.7194
100-24 6.7123 6.7125 6.7123 6.7123 6.7105
100-26 6.7035 6.7037 6.7035 6.7035 6.7016
100-28 6.6947 6.6949 6.6947 6.6947 6.6927
100-30 6.6859 6.6861 6.6859 6.6859 6.6838
101-00 6.6771 6.6773 6.6772 6.6771 6.6749
101-02 6.6683 6.6686 6.6684 6.6683 6.6660
101-04 6.6595 6.6598 6.6596 6.6596 6.6571
101-06 6.6508 6.6510 6.6509 6.6508 6.6483
101-08 6.6420 6.6423 6.6421 6.6420 6.6394
101-10 6.6333 6.6335 6.6334 6.6333 6.6306
101-12 6.6245 6.6248 6.6246 6.6246 6.6217
101-14 6.6158 6.6161 6.6159 6.6158 6.6129
Spread @ Center 133 133 133 133 133
Price
WAL 9.90523 9.90278 9.90278 9.90278 9.73611
Mod Durn 7.024 7.022 7.022 7.022 6.939
Mod Convexity 0.602 0.602 0.602 0.602 0.586
Principal Window Apr09 to May09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 120 119 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and Include penalty Include penalty Include penalty Include penalty Include penalty
penalties
Extension, if None None None None None
balloon
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos 12 mos
Optional Redemption
</TABLE>
- -------------------------------------------------------------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class D--Price/Yield
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $14,769,120.00 Settle at Pricing
Coupon 6.86 Original Balance $14,769,120.00 Accrual begins 5/1/99
Delay 14 Current Balance $14,769,120.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN FIX
</TABLE>
- ----------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Price 0CPR; Ext0mo 100% 25CPR; Ext0mo 50CPR; Ext0mo 75CPR; Ext0mo 100CPR; Ext0mo 100%
100%, 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0%
adv100% lag12; adv100%lag12; adv100% lag12; adv100%lag12; adv100%lag12;
bp bp bp bp bp
Yield
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
99-30+ 6.9274 6.9276 6.9274 6.9273 6.9269
100-00+ 6.9186 6.9186 6.9184 6.9184 6.9178
100-02+ 6.9097 6.9097 6.9095 6.9094 6.9088
100-04+ 6.9008 6.9008 6.9006 6.9005 6.8998
100-06+ 6.8920 6.8919 6.8917 6.8916 6.8908
100-08+ 6.8831 6.8829 6.8828 6.8827 6.8817
100-10+ 6.8742 6.8740 6.8739 6.8738 6.8727
100-12+ 6.8654 6.8652 6.8650 6.8649 6.8637
100-14+ 6.8566 6.8563 6.8561 6.8560 6.8547
100-16+ 6.8477 6.8474 6.8472 6.8471 6.8458
100-18+ 6.8389 6.8385 6.8383 6.8383 6.8368
100-20+ 6.8301 6.8297 6.8295 6.8294 6.8278
100-22+ 6.8213 6.8208 6.8206 6.8205 6.8188
100-24+ 6.8125 6.8119 6.8118 6.8117 6.8099
100-26+ 6.8037 6.8031 6.8029 6.8028 6.8009
100-28+ 6.7949 6.7943 6.7941 6.7940 6.7920
100-30+ 6.7861 6.7854 6.7852 6.7852 6.7831
Spread @ Center 150 150 150 150 150
Price
WAL 9.98611 9.90278 9.90278 9.90278 9.73611
Mod Durn 7.020 6.979 6.979 6.979 6.896
Mod Convexity 0.604 0.596 0.596 0.596 0.581
Principal Window May09 to May09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 120 119 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and Include penalty Include penalty Include penalty Include penalty Include penalty
penalties
Extension, if None None None None None
balloon
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos 12 mos
Optional Redemption
</TABLE>
- -------------------------------------------------------------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
FUNCM99C2_RED, Class E--Price/Yield
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $41,353,533.00 Settle at Pricing
Coupon 0 Original Balance $41,353,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $41,353,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN WAC
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Price 0CPR; Ext0mo 100% 25CPR; Ext0mo 50CPR; Ext0mo 75CPR; Ext0mo 100CPR; Ext0mo 100%
100%, 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0%
adv100% lag12; adv100%lag12; adv100% lag12; adv100%lag12; adv100%lag12;
bp bp bp bp bp
Yield
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
99-25+ 7.4293 7.4281 7.4265 7.4259 7.4246
99-27+ 7.4202 7.4189 7.4173 7.4168 7.4153
99-29+ 7.4111 7.4098 7.4082 7.4077 7.4061
99-31+ 7.4020 7.4007 7.3991 7.3985 7.3968
100-01+ 7.3929 7.3916 7.3899 7.3894 7.3876
100-03+ 7.3839 7.3825 7.3808 7.3803 7.3784
100-05+ 7.3748 7.3734 7.3717 7.3712 7.3692
100-07+ 7.3657 7.3643 7.3626 7.3621 7.3599
100-09+ 7.3567 7.3553 7.3536 7.3530 7.3507
100-11+ 7.3476 7.3462 7.3445 7.3439 7.3415
100-13+ 7.3386 7.3371 7.3354 7.3348 7.3323
100-15+ 7.3296 7.3281 7.3263 7.3257 7.3232
100-17+ 7.3206 7.3190 7.3173 7.3166 7.3140
100-19+ 7.3115 7.3100 7.3082 7.3076 7.3048
100-21+ 7.3025 7.3010 7.2992 7.2985 7.2957
100-23+ 7.2935 7.2919 7.2901 7.2895 7.2865
100-25+ 7.2846 7.2829 7.2811 7.2804 7.2774
Spread @ Center 200 200 200 200 200
Price
WAL 9.98611 9.94457 9.92498 9.90743 9.73611
Mod Durn 6.861 6.843 6.834 6.826 6.745
Mod Convexity 0.584 0.581 0.579 0.577 0.562
Principal Window May09 to May09 Apr09 to May09 Apr09 to May09 Apr09 to May09 Feb09 to Feb09
Maturity #mos 120 120 120 120 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and Include penalty Include penalty Include penalty Include penalty Include penalty
penalties
Extension, if None None None None None
balloon
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos 12 mos
Optional Redemption
</TABLE>
- -------------------------------------------------------------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<TABLE>
<CAPTION>
FUNCM99C2_RED, Class F--Price/Yield
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $17,722,943.00 Settle at Pricing
Coupon 0 Original Balance $17,722,943.00 Accrual begins 5/1/99
Delay 14 Current Balance $17,722,943.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN WAC
</TABLE>
<TABLE>
<CAPTION>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- --------------------------------------------------------------------------------------------------------------------
Price 0CPR; Ext0mo 100% 25CPR; Ext0mo 50CPR; Ext0mo 75CPR; Ext0mo 100CPR; Ext0mo 100%
100%, 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0% OCDR, 0%
adv100% lag12; adv100%lag12; adv100% lag12; adv100%lag12; adv100%lag12;
bp bp bp bp bp
Yield
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
94-01+ 8.2873 8.2988 8.2969 8.2962 8.3102
94-03+ 8.2776 8.2889 8.2871 8.2864 8.3002
94-05+ 8.2679 8.2791 8.2772 8.2765 8.2902
94-07+ 8.2582 8.2693 8.2674 8.2667 8.2802
94-09+ 8.2485 8.2595 8.2576 8.2569 8.2702
94-11+ 8.2389 8.2497 8.2478 8.2471 8.2603
94-13+ 8.2292 8.2399 8.2380 8.2373 8.2503
94-15+ 8.2196 8.2301 8.2282 8.2275 8.2404
94-17+ 8.2099 8.2203 8.2185 8.2178 8.2304
94-19+ 8.2003 8.2105 8.2087 8.2080 8.2205
94-21+ 8.1906 8.2008 8.1989 8.1982 8.2106
94-23+ 8.1810 8.1910 8.1892 8.1885 8.2006
94-25+ 8.1714 8.1813 8.1795 8.1787 8.1907
94-27+ 8.1618 8.1716 8.1697 8.1690 8.1808
94-29+ 8.1522 8.1618 8.1600 8.1593 8.1709
94-31+ 8.1426 8.1521 8.1503 8.1496 8.1611
95-01+ 8.1331 8.1424 8.1406 8.1399 8.1512
Spread @ Center 285 286 286 286 288
Price
WAL 10.19134 9.98611 9.98611 9.98611 9.73611
Mod Durn 6.828 6.737 6.738 6.738 6.624
Mod Convexity 0.586 0.569 0.569 0.569 0.547
Principal Window May09 to Sep09 May09 to May09 May09 to May09 May09 to May09 Feb09 to Feb09
Maturity #mos 124 120 120 120 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 25 CPR At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and Include penalty Include penalty Include penalty Include penalty Include penalty
penalties
Extension, if None None None None None
balloon
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos 12 mos
Optional Redemption
</TABLE>
- -------------------------------------------------------------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
FUNCM99C2_RED, CLASS A2--PRICE/YIELD
- ------------------------------------------------------
CUSIP
Coupon 6.58
Delay 14
Stated Maturity N/A
Type SEN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- ----------------------------------- ---------------------- -------------------- ------------------- -----------------------
0CPR; EXT0MO 100% 0CPR; EXT0MO 100%
0CPR; EXT0MO 100% 0% RULES; 0% RULES; 0CPR; EXT0MO 100%
0% RULES; .5CDR, 40% 1CDR, 40% ADV100% 1.5CDR, 40% 0% RULES; 2CDR, 40%
PRICE ADV100% LAG12; BP LAG12; BP ADV100% LAG12; BP ADV100% LAG12; BP
Yield
- ----------------------------------- ---------------------- -------------------- ------------------- -----------------------
<S> <C> <C> <C> <C>
100-30+ 6.4968 6.4963 6.4956 6.4947
101-00+ 6.4879 6.4874 6.4866 6.4856
101-02+ 6.4790 6.4785 6.4776 6.4766
101-04+ 6.4701 6.4695 6.4687 6.4676
101-06+ 6.4612 6.4606 6.4597 6.4586
101-08+ 6.4523 6.4517 6.4507 6.4496
101-10+ 6.4434 6.4428 6.4418 6.4406
101-12+ 6.4345 6.4339 6.4329 6.4316
101-14+ 6.4256 6.4250 6.4239 6.4226
101-16+ 6.4168 6.4161 6.4150 6.4136
101-18+ 6.4079 6.4072 6.4061 6.4046
101-20+ 6.3990 6.3983 6.3972 6.3957
101-22+ 6.3902 6.3894 6.3882 6.3867
101-24+ 6.3814 6.3806 6.3793 6.3778
101-26+ 6.3725 6.3717 6.3704 6.3688
101-28+ 6.3637 6.3629 6.3616 6.3599
101-30+ 6.3549 6.3540 6.3527 6.3510
- ----------------------------------- ---------------------- -------------------- ------------------- -----------------------
- ----------------------------------- ---------------------- -------------------- ------------------- -----------------------
Spread @ Center Price 108 108 108 108
WAL 9.56975 9.53476 9.48248 9.41709
Mod Durn 6.921 6.902 6.873 6.836
Mod Convexity 0.579 0.575 0.570 0.565
Principal Window Feb08 to Apr09 May07 to Apr09 Oct06 to Apr09 Mar06 to Apr09
Maturity #mos 119 119 119 119
20,125,600.60 39,403,330.63 57,869,443.22
Total Collat Loss (1.70%) (3.33%) (4.90%) 75,558,499.36 (6.39%)
Loan Overrides Apply At 0 CPR At 0 CPR At 0 CPR At 0 CPR
Prepay Include penalty Include penalty Include penalty Include penalty
No prepays
Lockout and penalties None None None None
Extension, if balloon
Increase Coupon
Pay Exten Princ At .5 CDR At 1 CDR At 1.5 CDR At 2 CDR
40% 40% 40% 40%
Default 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Loss Severity 12 mos 12 mos 12 mos 12 mos
Servicer Advances
Recovery Lag
Optional Redemption
- ----------------------------------- ---------------------- ------------- -------------------- --------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS B--PRICE/YIELD
- ------------------------------------------------------
CUSIP
Coupon 6.7
Delay 14
Stated Maturity N/A
Type JUN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $47,261,182.00
Original Balance $47,261,182.00
Current Balance $47,261,182.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100%
0% RULES; 0% RULES; 0% RULES; 0% RULES;
.5CDR, 40% ADV100% 1CDR, 40% ADV100% 1.5CDR, 40% 2CDR, 40% ADV100%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP LAG12; BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-30+ 6.6228 6.6228 6.6228 6.6228
101-00+ 6.6140 6.6140 6.6140 6.6140
101-02+ 6.6053 6.6053 6.6053 6.6053
101-04+ 6.5965 6.5965 6.5965 6.5965
101-06+ 6.5878 6.5878 6.5878 6.5878
101-08+ 6.5791 6.5791 6.5791 6.5791
101-10+ 6.5703 6.5703 6.5703 6.5703
101-12+ 6.5616 6.5616 6.5616 6.5616
101-14+ 6.5529 6.5529 6.5529 6.5529
101-16+ 6.5442 6.5442 6.5442 6.5442
101-18+ 6.5355 6.5355 6.5355 6.5355
101-20+ 6.5268 6.5268 6.5268 6.5268
101-22+ 6.5181 6.5181 6.5181 6.5181
101-24+ 6.5095 6.5095 6.5095 6.5095
101-26+ 6.5008 6.5008 6.5008 6.5008
101-28+ 6.4921 6.4921 6.4921 6.4921
101-30+ 6.4835 6.4835 6.4835 6.4835
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 120 120 120 120
WAL 9.90278 9.90278 9.90278 9.90278
Mod Durn 7.053 7.053 7.053 7.053
Mod Convexity 0.606 0.606 0.606 0.606
Principal Window Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 119 119 119 119
20,125,600.60 39,403,330.63 57,869,443.22 75,558,499.36
Total Collat Loss (1.70%) (3.33%) (4.90%) (6.39%)
Loan Overrides Apply At 0 CPR At 0 CPR At 0 CPR At 0 CPR
Prepay Include penalty Include penalty Include penalty Include penalty
No prepays
Lockout and penalties None None None None
Extension, if balloon
Increase Coupon
Pay Exten Princ At .5 CDR At 1 CDR At 1.5 CDR At 2 CDR
40% 40% 40% 40%
Default 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Loss Severity 12 mos 12 mos 12 mos 12 mos
Servicer Advances
Recovery Lag
Optional Redemption
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS C--PRICE/YIELD
- ------------------------------------------------------
CUSIP
Coupon 6.76
Delay 14
Stated Maturity N/A
Type JUN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $62,030,300.00
Original Balance $62,030,300.00
Current Balance $62,030,300.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100%
0% RULES; 0% RULES; 0% RULES; 0% RULES;
.5CDR, 40% ADV100% 1CDR, 40% ADV100% 1.5CDR, 40% 2CDR, 40% ADV100%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP LAG12; BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-14 6.7565 6.7566 6.7567 6.7567
100-16 6.7476 6.7477 6.7478 6.7479
100-18 6.7388 6.7389 6.7390 6.7391
100-20 6.7300 6.7301 6.7302 6.7303
100-22 6.7212 6.7213 6.7214 6.7216
100-24 6.7124 6.7125 6.7127 6.7128
100-26 6.7036 6.7037 6.7039 6.7040
100-28 6.6948 6.6950 6.6951 6.6953
100-30 6.6860 6.6862 6.6863 6.6865
101-00 6.6773 6.6774 6.6776 6.6777
101-02 6.6685 6.6687 6.6688 6.6690
101-04 6.6597 6.6599 6.6601 6.6603
101-06 6.6510 6.6512 6.6514 6.6515
101-08 6.6422 6.6424 6.6426 6.6428
101-10 6.6335 6.6337 6.6339 6.6341
101-12 6.6248 6.6250 6.6252 6.6254
101-14 6.6160 6.6163 6.6165 6.6167
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 133 133 133 133
WAL 9.91892 9.93214 9.94489 9.95720
Mod Durn 7.030 7.037 7.043 7.050
Mod Convexity 0.603 0.605 0.606 0.607
Principal Window Apr09 to May09 Apr09 to May09 Apr09 to May09 Apr09 to May09
Maturity #mos 120 120 120 120
20,125,600.60 39,403,330.63 57,869,443.22 75,558,499.36
Total Collat Loss (1.70%) (3.33%) (4.90%) (6.39%)
Loan Overrides Apply At 0 CPR At 0 CPR At 0 CPR At 0 CPR
Prepay Include penalty Include penalty Include penalty Include penalty
No prepays
Lockout and penalties None None None None
Extension, if balloon
Increase Coupon
Pay Exten Princ At .5 CDR At 1 CDR At 1.5 CDR At 2 CDR
40% 40% 40% 40%
Default 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Loss Severity 12 mos 12 mos 12 mos 12 mos
Servicer Advances
Recovery Lag
Optional Redemption
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS D--PRICE/YIELD
- ------------------------------------------------------
CUSIP
Coupon 6.86
Delay 14
Stated Maturity N/A
Type JUN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $14,769,120.00
Original Balance $14,769,120.00
Current Balance $14,769,120.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100%
0% RULES; 0% RULES; 0% RULES; 0% RULES;
.5CDR, 40% ADV100% 1CDR, 40% ADV100% 1.5CDR, 40% 2CDR, 40% ADV100%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP LAG12; BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
99-30+ 6.9274 6.9274 6.9274 6.9275
100-00+ 6.9186 6.9186 6.9186 6.9186
100-02+ 6.9097 6.9097 6.9097 6.9098
100-04+ 6.9008 6.9008 6.9008 6.9009
100-06+ 6.8920 6.8920 6.8920 6.8921
100-08+ 6.8831 6.8831 6.8831 6.8832
100-10+ 6.8742 6.8742 6.8742 6.8744
100-12+ 6.8654 6.8654 6.8654 6.8655
100-14+ 6.8566 6.8566 6.8566 6.8567
100-16+ 6.8477 6.8477 6.8477 6.8479
100-18+ 6.8389 6.8389 6.8389 6.8391
100-20+ 6.8301 6.8301 6.8301 6.8303
100-22+ 6.8213 6.8213 6.8213 6.8215
100-24+ 6.8125 6.8125 6.8125 6.8127
100-26+ 6.8037 6.8037 6.8037 6.8039
100-28+ 6.7949 6.7949 6.7949 6.7952
100-30+ 6.7861 6.7861 6.7861 6.7864
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 150 150 150 150
WAL 9.98611 9.98611 9.98611 10.00791
Mod Durn 7.020 7.020 7.020 7.031
Mod Convexity 0.604 0.604 0.604 0.606
Principal Window May09 to May09 May09 to May09 May09 to May09 May09 to Sep09
Maturity #mos 120 120 120 124
20,125,600.60 39,403,330.63 57,869,443.22 75,558,499.36
Total Collat Loss (1.70%) (3.33%) (4.90%) (6.39%)
Loan Overrides Apply At 0 CPR At 0 CPR At 0 CPR At 0 CPR
Prepay Include penalty Include penalty Include penalty Include penalty
No prepays
Lockout and penalties None None None None
Extension, if balloon
Increase Coupon
Pay Exten Princ At .5 CDR At 1 CDR At 1.5 CDR At 2 CDR
40% 40% 40% 40%
Default 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Loss Severity 12 mos 12 mos 12 mos 12 mos
Servicer Advances
Recovery Lag
Optional Redemption
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS E--PRICE/YIELD
- ------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- ------------------------------------------------------
- ------------------------------------------------------
Face $41,353,533.00
Original Balance $41,353,533.00
Current Balance $41,353,533.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100%
0% RULES; 0% RULES; 0% RULES; 0% RULES;
.5CDR, 40% ADV100% 1CDR, 40% ADV100% 1.5CDR, 40% 2CDR, 40% ADV100%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP LAG12; BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
99-25+ 7.4291 7.4280 7.4248 7.4217
99-27+ 7.4200 7.4191 7.4162 7.4134
99-29+ 7.4110 7.4101 7.4076 7.4051
99-31+ 7.4019 7.4012 7.3990 7.3969
100-01+ 7.3928 7.3922 7.3904 7.3886
100-03+ 7.3838 7.3833 7.3818 7.3803
100-05+ 7.3748 7.3744 7.3732 7.3721
100-07+ 7.3657 7.3655 7.3646 7.3638
100-09+ 7.3567 7.3566 7.3561 7.3556
100-11+ 7.3477 7.3477 7.3475 7.3474
100-13+ 7.3387 7.3388 7.3390 7.3392
100-15+ 7.3297 7.3299 7.3304 7.3309
100-17+ 7.3207 7.3211 7.3219 7.3227
100-19+ 7.3117 7.3122 7.3133 7.3145
100-21+ 7.3028 7.3033 7.3048 7.3063
100-23+ 7.2938 7.2945 7.2963 7.2981
100-25+ 7.2848 7.2856 7.2878 7.2899
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 200 200 199 197
WAL 10.03565 10.23909 10.86984 11.54217
Mod Durn 6.884 6.976 7.249 7.538
Mod Convexity 0.589 0.607 0.666 0.728
Principal Window May09 to Sep09 May09 to Oct10 May09 to Sep11 Sep09 to Sep11
Maturity #mos 124 137 148 148
20,125,600.60 39,403,330.63 57,869,443.22 75,558,499.36
Total Collat Loss (1.70%) (3.33%) (4.90%) (6.39%)
Loan Overrides Apply At 0 CPR At 0 CPR At 0 CPR At 0 CPR
Prepay Include penalty Include penalty Include penalty Include penalty
No prepays
Lockout and penalties None None None None
Extension, if balloon
Increase Coupon
Pay Exten Princ At .5 CDR At 1 CDR At 1.5 CDR At 2 CDR
40% 40% 40% 40%
Default 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Loss Severity 12 mos 12 mos 12 mos 12 mos
Servicer Advances
Recovery Lag
Optional Redemption
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS F--PRICE/YIELD
- ------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- ------------------------------------------------------
- ------------------------------------------------------
Face $17,722,943.00
Original Balance $17,722,943.00
Current Balance $17,722,943.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222, 10YR=5.357,
30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100% 0CPR; EXT0MO 100%
0% RULES; 0% RULES; 0% RULES; 0% RULES;
.5CDR, 40% ADV100% 1CDR, 40% ADV100% 1.5CDR, 40% 2CDR, 40% ADV100%
PRICE LAG12; BP LAG12; BP ADV100% LAG12; BP LAG12; BP
Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
94-01+ 8.2449 8.1865 8.1772 8.1380
94-03+ 8.2356 8.1779 8.1686 8.1298
94-05+ 8.2264 8.1692 8.1601 8.1216
94-07+ 8.2171 8.1605 8.1515 8.1134
94-09+ 8.2079 8.1519 8.1429 8.1052
94-11+ 8.1986 8.1432 8.1344 8.0970
94-13+ 8.1894 8.1346 8.1258 8.0888
94-15+ 8.1801 8.1259 8.1173 8.0806
94-17+ 8.1709 8.1173 8.1087 8.0725
94-19+ 8.1617 8.1087 8.1002 8.0643
94-21+ 8.1525 8.1001 8.0917 8.0562
94-23+ 8.1433 8.0915 8.0832 8.0480
94-25+ 8.1341 8.0829 8.0747 8.0399
94-27+ 8.1250 8.0743 8.0662 8.0317
94-29+ 8.1158 8.0657 8.0577 8.0236
94-31+ 8.1066 8.0571 8.0492 8.0155
95-01+ 8.0975 8.0486 8.0408 8.0074
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 280 273 271 266
WAL 10.93779 12.14704 12.36619 13.33194
Mod Durn 7.145 7.634 7.718 8.064
Mod Convexity 0.652 0.760 0.780 0.866
Principal Window Sep09 to Jun11 Oct10 to Sep11 Sep11 to Mar12 Sep11 to Apr13
Maturity #mos 145 148 154 167
20,125,600.60 39,403,330.63 57,869,443.22 75,558,499.36
Total Collat Loss (1.70%) (3.33%) (4.90%) (6.39%)
Loan Overrides Apply At 0 CPR At 0 CPR At 0 CPR At 0 CPR
Prepay Include penalty Include penalty Include penalty Include penalty
No prepays
Lockout and penalties None None None None
Extension, if balloon
Increase Coupon
Pay Exten Princ At .5 CDR At 1 CDR At 1.5 CDR At 2 CDR
40% 40% 40% 40%
Default 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Loss Severity 12 mos 12 mos 12 mos 12 mos
Servicer Advances
Recovery Lag
Optional Redemption
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
</TABLE>
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
FUNCM99C2_RED, CLASS A2--PRICE/YIELD
- ------------------------------------------------------
CUSIP
Coupon 6.58
Delay 14
Stated Maturity N/A
Type SEN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- ------------------------
0CPR YM; EXT0MO 100%
0% RULES; 0CDR,30%
ADV100% LAG12; BP AND
PRICE LOAN
Yield
- ------------------------------------- ------------------------
100-30+ 6.4931
101-00+ 6.4840
101-02+ 6.4749
101-04+ 6.4658
101-06+ 6.4567
101-08+ 6.4476
101-10+ 6.4385
101-12+ 6.4294
101-14+ 6.4204
101-16+ 6.4113
101-18+ 6.4022
101-20+ 6.3932
101-22+ 6.3842
101-24+ 6.3751
101-26+ 6.3661
101-28+ 6.3571
101-30+ 6.3481
- ------------------------------------- ------------------------
- ------------------------------------- ------------------------
Spread @ Center Price 108
WAL 9.31172
Mod Durn 6.775
Mod Convexity 0.555
Principal Window Apr05 to Apr09
Maturity #mos 119
Total Collat Loss 44,686,267.60 (3.78%)
Loan Overrides Apply
Prepay At 0 CPR
No prepays During any YM
Lockout and penalties Include penalty
Extension, if balloon None
Increase Coupon
Pay Exten Princ
Default At 0 CDR
Loss Severity 30%
Servicer Advances 100% of P & I
Recovery Lag 12 mos
Optional Redemption
- ------------------------------------- ------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS B--PRICE/YIELD
- ------------------------------------------------------
CUSIP
Coupon 6.7
Delay 14
Stated Maturity N/A
Type JUN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $47,261,182.00
Original Balance $47,261,182.00
Current Balance $47,261,182.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- ------------------------
0CPR YM; EXT0MO 100%
0% RULES; 0CDR,30%
ADV100% LAG12; BP AND
PRICE LOAN
Yield
- ------------------------------------- ------------------------
100-30+ 6.6228
101-00+ 6.6140
101-02+ 6.6053
101-04+ 6.5965
101-06+ 6.5878
101-08+ 6.5791
101-10+ 6.5703
101-12+ 6.5616
101-14+ 6.5529
101-16+ 6.5442
101-18+ 6.5355
101-20+ 6.5268
101-22+ 6.5181
101-24+ 6.5095
101-26+ 6.5008
101-28+ 6.4921
101-30+ 6.4835
- ------------------------------------- ------------------------
- ------------------------------------- ------------------------
Spread @ Center Price 120
WAL 9.90278
Mod Durn 7.053
Mod Convexity 0.606
Principal Window Apr09 to Apr09
Maturity #mos 119
Total Collat Loss 44,686,267.60 (3.78%)
Loan Overrides Apply
Prepay At 0 CPR
No prepays During any YM
Lockout and penalties Include penalty
Extension, if balloon None
Increase Coupon
Pay Exten Princ
Default At 0 CDR
Loss Severity 30%
Servicer Advances 100% of P & I
Recovery Lag 12 mos
Optional Redemption
- ------------------------------------- ------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS C--PRICE/YIELD
- --------------------------------------------------------
CUSIP
Coupon 6.76
Delay 14
Stated Maturity N/A
Type JUN FIX
- --------------------------------------------------------
- --------------------------------------------------------
Face $62,030,300.00
Original Balance $62,030,300.00
Current Balance $62,030,300.00
Factor 1
- --------------------------------------------------------
- --------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- --------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- ------------------------
0CPR YM; EXT0MO 100%
0% RULES; 0CDR,30%
ADV100% LAG12; BP AND
PRICE LOAN
Yield
- ------------------------------------- ------------------------
100-14 6.7566
100-16 6.7478
100-18 6.7390
100-20 6.7302
100-22 6.7214
100-24 6.7127
100-26 6.7039
100-28 6.6951
100-30 6.6863
101-00 6.6776
101-02 6.6688
101-04 6.6601
101-06 6.6514
101-08 6.6426
101-10 6.6339
101-12 6.6252
101-14 6.6165
- ------------------------------------- ------------------------
- ------------------------------------- ------------------------
Spread @ Center Price 133
WAL 9.94401
Mod Durn 7.043
Mod Convexity 0.606
Principal Window Apr09 to May09
Maturity #mos 120
Total Collat Loss 44,686,267.60 (3.78%)
Loan Overrides Apply
Prepay At 0 CPR
No prepays During any YM
Lockout and penalties Include penalty
Extension, if balloon None
Increase Coupon
Pay Exten Princ
Default At 0 CDR
Loss Severity 30%
Servicer Advances 100% of P & I
Recovery Lag 12 mos
Optional Redemption
- ------------------------------------- ------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS D--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 6.86
Delay 14
Stated Maturity N/A
Type JUN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $14,769,120.00
Original Balance $14,769,120.00
Current Balance $14,769,120.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- ------------------------
0CPR YM; EXT0MO 100%
0% RULES; 0CDR,30%
ADV100% LAG12; BP AND
PRICE LOAN
Yield
- ------------------------------------- ------------------------
99-30+ 6.9274
100-00+ 6.9186
100-02+ 6.9097
100-04+ 6.9008
100-06+ 6.8920
100-08+ 6.8831
100-10+ 6.8742
100-12+ 6.8654
100-14+ 6.8566
100-16+ 6.8477
100-18+ 6.8389
100-20+ 6.8301
100-22+ 6.8213
100-24+ 6.8125
100-26+ 6.8037
100-28+ 6.7949
100-30+ 6.7861
- ------------------------------------- ------------------------
- ------------------------------------- ------------------------
Spread @ Center Price 150
WAL 9.98611
Mod Durn 7.020
Mod Convexity 0.604
Principal Window May09 to May09
Maturity #mos 120
Total Collat Loss 44,686,267.60 (3.78%)
Loan Overrides Apply
Prepay At 0 CPR
No prepays During any YM
Lockout and penalties Include penalty
Extension, if balloon None
Increase Coupon
Pay Exten Princ
Default At 0 CDR
Loss Severity 30%
Servicer Advances 100% of P & I
Recovery Lag 12 mos
Optional Redemption
- ------------------------------------- ------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS E--PRICE/YIELD
- --------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- --------------------------------------------------------
- --------------------------------------------------------
Face $41,353,533.00
Original Balance $41,353,533.00
Current Balance $41,353,533.00
Factor 1
- --------------------------------------------------------
- --------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- --------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- ------------------------
0CPR YM; EXT0MO 100%
0% RULES; 0CDR,30%
ADV100% LAG12; BP AND
PRICE LOAN
Yield
- ------------------------------------- ------------------------
99-25+ 7.4089
99-27+ 7.4002
99-29+ 7.3915
99-31+ 7.3828
100-01+ 7.3740
100-03+ 7.3653
100-05+ 7.3566
100-07+ 7.3479
100-09+ 7.3393
100-11+ 7.3306
100-13+ 7.3219
100-15+ 7.3132
100-17+ 7.3046
100-19+ 7.2959
100-21+ 7.2873
100-23+ 7.2787
100-25+ 7.2700
- ------------------------------------- ------------------------
- ------------------------------------- ------------------------
Spread @ Center Price 197
WAL 10.62993
Mod Durn 7.150
Mod Convexity 0.644
Principal Window May09 to Sep11
Maturity #mos 148
Total Collat Loss 44,686,267.60 (3.78%)
Loan Overrides Apply
Prepay At 0 CPR
No prepays During any YM
Lockout and penalties Include penalty
Extension, if balloon None
Increase Coupon
Pay Exten Princ
Default At 0 CDR
Loss Severity 30%
Servicer Advances 100% of P & I
Recovery Lag 12 mos
Optional Redemption
- ------------------------------------- ------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM99C2_RED, CLASS F--PRICE/YIELD
- -------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- -------------------------------------------------------
- -------------------------------------------------------
Face $17,722,943.00
Original Balance $17,722,943.00
Current Balance $17,722,943.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- ------------------------
0CPR YM; EXT0MO 100%
0% RULES; 0CDR,30%
ADV100% LAG12; BP AND
PRICE LOAN
Yield
- ------------------------------------- ------------------------
94-01+ 8.1639
94-03+ 8.1553
94-05+ 8.1467
94-07+ 8.1381
94-09+ 8.1295
94-11+ 8.1209
94-13+ 8.1124
94-15+ 8.1038
94-17+ 8.0953
94-19+ 8.0867
94-21+ 8.0782
94-23+ 8.0697
94-25+ 8.0612
94-27+ 8.0527
94-29+ 8.0442
94-31+ 8.0357
95-01+ 8.0272
- ------------------------------------- ------------------------
- ------------------------------------- ------------------------
Spread @ Center Price 270
WAL 12.31944
Mod Durn 7.706
Mod Convexity 0.776
Principal Window Sep11 to Sep11
Maturity #mos 148
Total Collat Loss 44,686,267.60 (3.78%)
Loan Overrides Apply
Prepay At 0 CPR
No prepays During any YM
Lockout and penalties Include penalty
Extension, if balloon None
Increase Coupon
Pay Exten Princ
Default At 0 CDR
Loss Severity 30%
Servicer Advances 100% of P & I
Recovery Lag 12 mos
Optional Redemption
- ------------------------------------- ------------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
- -------------------------------------------------------------------------------
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
FUNCM99C2_RED, Class A2--Price/Yield
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $673,785,678.00 Settle at Pricing
Coupon 6.58 Original Balance $673,785,678.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,785,678.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333,
5YR=5.222, 10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Price 0CPR ym; OCPR ym; OCPR ym;
Ext0mo 100% Ext0mo 100% OCPR ym; Ext0mo Ext0mo 100%
0% rules; 0% rules; 100% 0% rules; 0% rules;
OCDR, 30% OCDR, 30% OCDR, 30% 0CDR, 0%
adv100% lag12; adv100%lag12; adv100%lag12; adv100%lag0;
bp and Loan bp and Loan bp and Loan bp and Loan
Yield Yield Yield Yield
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
100-30+ 6.4989 6.5082 6.5170 6.5249
101-00+ 6.4901 6.4999 6.5092 6.5174
101-02+ 6.4813 6.4915 6.5013 6.5100
101-04+ 6.4725 6.4832 6.4934 6.5025
101-06+ 6.4637 6.4749 6.4855 6.4950
101-08+ 6.4549 6.4666 6.4777 6.4876
101-10+ 6.4461 6.4583 6.4698 6.4801
101-12+ 6.4373 6.4500 6.4620 6.4727
101-14+ 6.4286 6.4417 6.4541 6.4652
101-16+ 6.4198 6.4334 6.4463 6.4578
101-18+ 6.4110 6.4251 6.4385 6.4504
101-20+ 6.4023 6.4169 6.4307 6.4429
101-22+ 6.3935 6.4086 6.4228 6.4355
101-24+ 6.3848 6.4003 6.4150 6.4281
101-26+ 6.3761 6.3921 6.4072 6.4207
101-28+ 6.3674 6.3838 6.3994 6.4133
101-30+ 6.3586 6.3756 6.3916 6.4059
Spread @ Center Price 108 108 107 107
WAL 9.73429 10.57896 11.48078 12.37985
Mod Durn 7.004 7.407 7.834 8.257
Mod Convexity 0.595 0.681 0.772 0.863
Principal Window Jun08 to Jun11 Jul08 to Jan12 Aug08 to Mar12 Dec08 to Apr12
Maturity #mos 145 152 154 155
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Loan Overrides Apply
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon 36 months 25% 36 months 50% 36 months 75% 36 months 100%
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 30% 30% 30% 0%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 0 mos
Optional Redemption
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials. Prospective investors are advised to carefully read,
and should rely solely on, the final prospectus and prospectus supplement (the
"Final Prospectus") relating to the certificates referred to herein (the
"Offered Certificates") in making their investment decision. These Computational
Materials have been based upon the assumptions described above, which most
likely will not represent the actual experience of the Mortgage Pool in the
future. No representation is made herein as to the actual rate or timing of
principal payments or prepayments on any of the underlying Mortgage Loans in the
Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
FUNCM99C2_RED, Class B--Price/Yield
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $47,261,182.00 Settle at Pricing
Coupon 6.7 Original Balance $47,261,182.00 Accrual begins 5/1/99
Delay 14 Current Balance $47,261,182.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN FIX
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Price 0CPR ym; OCPR ym; OCPR ym;
Ext0mo 100% Ext0mo 100% OCPR ym; Ext0mo Ext0mo 100%
0% rules; 0% rules; 100% 0% rules; 0% rules;
OCDR, 30% OCDR, 30% OCDR, 30% OCDR, 0%
adv100% lag12; adv100%lag12; adv100%lag12; adv100%lag0;
bp and Loan bp and Loan bp and Loan bp and Loan
Yield Yield Yield Yield
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
100-30+ 6.6458 6.6494 6.6501 6.6506
101-00+ 6.6382 6.6420 6.6427 6.6433
101-02+ 6.6307 6.6346 6.6354 6.6360
101-04+ 6.6231 6.6272 6.6280 6.6287
101-06+ 6.6155 6.6198 6.6207 6.6213
101-08+ 6.6080 6.6125 6.6134 6.6140
101-10+ 6.6004 6.6051 6.6060 6.6067
101-12+ 6.5929 6.5978 6.5987 6.5994
101-14+ 6.5854 6.5904 6.5914 6.5921
101-16+ 6.5778 6.5831 6.5841 6.5849
101-18+ 6.5703 6.5757 6.5768 6.5776
101-20+ 6.5628 6.5684 6.5695 6.5703
101-22+ 6.5553 6.5611 6.5622 6.5631
101-24+ 6.5478 6.5537 6.5549 6.5558
101-26+ 6.5403 6.5464 6.5476 6.5485
101-28+ 6.5328 6.5391 6.5403 6.5413
101-30+ 6.5253 6.5318 6.5331 6.5340
Spread @ Center Price 119 119 119 119
WAL 12.25346 12.72905 12.82690 12.90278
Mod Durn 8.151 8.353 8.394 8.426
Mod Convexity 0.841 0.890 0.900 0.908
Principal Window Jun11 to Oct11 Jan12 to Mar12 Mar12 to Apr12 Apr12 to Apr12
Maturity #mos 149 154 155 155
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Loan Overrides Apply
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon 36 months 25% 36 months 50% 36 months 75% 36 months 100%
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 30% 30% 30% 0%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 0 mos
Optional Redemption
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials. Prospective investors are advised to carefully read,
and should rely solely on, the final prospectus and prospectus supplement (the
"Final Prospectus") relating to the certificates referred to herein (the
"Offered Certificates") in making their investment decision. These Computational
Materials have been based upon the assumptions described above, which most
likely will not represent the actual experience of the Mortgage Pool in the
future. No representation is made herein as to the actual rate or timing of
principal payments or prepayments on any of the underlying Mortgage Loans in the
Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
FUNCM99C2_RED, Class C--Price/Yield
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $62,030,300.00 Settle at Pricing
Coupon 6.76 Original Balance $62,030,300.00 Accrual begins 5/1/99
Delay 14 Current Balance $62,030,300.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN FIX
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Price 0CPR ym; OCPR ym; OCPR ym;
Ext0mo 100% Ext0mo 100% OCPR ym; Ext0mo Ext0mo 100%
0% rules; 0% rules; 100% 0% rules; 0% rules;
OCDR, 30% OCDR, 30% OCDR, 30% OCDR, 0%
adv100% lag12; adv100%lag12; adv100%lag12; adv100%lag0;
bp and Loan bp and Loan bp and Loan bp and Loan
Yield Yield Yield Yield
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
100-14 6.7709 6.7722 6.7725 6.7725
100-16 6.7633 6.7647 6.7651 6.7651
100-18 6.7558 6.7573 6.7577 6.7577
100-20 6.7483 6.7499 6.7503 6.7503
100-22 6.7407 6.7425 6.7429 6.7429
100-24 6.7332 6.7350 6.7355 6.7355
100-26 6.7257 6.7276 6.7281 6.7281
100-28 6.7182 6.7202 6.7207 6.7207
100-30 6.7107 6.7128 6.7134 6.7134
101-00 6.7032 6.7055 6.7060 6.7060
101-02 6.6957 6.6981 6.6987 6.6987
101-04 6.6882 6.6907 6.6913 6.6913
101-06 6.6807 6.6833 6.6840 6.6840
101-08 6.6732 6.6760 6.6767 6.6767
101-10 6.6658 6.6686 6.6693 6.6693
101-12 6.6583 6.6613 6.6620 6.6620
101-14 6.6508 6.6539 6.6547 6.6547
Spread @ Center Price 131 131 131 131
WAL 12.52386 12.82621 12.90278 12.90278
Mod Durn 8.225 8.350 8.382 8.382
Mod Convexity 0.862 0.893 0.901 0.901
Principal Window Oct11 to Jan12 Mar12 to Apr12 Apr12 to Apr12 Apr12 to Apr12
Maturity #mos 152 155 155 155
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Loan Overrides Apply
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon 36 months 25% 36 months 50% 36 months 75% 36 months 100%
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 30% 30% 30% 0%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 0 mos
Optional Redemption
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials. Prospective investors are advised to carefully read,
and should rely solely on, the final prospectus and prospectus supplement (the
"Final Prospectus") relating to the certificates referred to herein (the
"Offered Certificates") in making their investment decision. These Computational
Materials have been based upon the assumptions described above, which most
likely will not represent the actual experience of the Mortgage Pool in the
future. No representation is made herein as to the actual rate or timing of
principal payments or prepayments on any of the underlying Mortgage Loans in the
Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
FUNCM99C2_RED, Class D--Price/Yield
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $14,769,120.00 Settle at Pricing
Coupon 6.86 Original Balance $14,769,120.00 Accrual begins 5/1/99
Delay 14 Current Balance $14,769,120.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN FIX
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Price 0CPR ym; OCPR ym; OCPR ym;
Ext0mo 100% Ext0mo 100% OCPR ym; Ext0mo Ext0mo 100%
0% rules; 0% rules; 100% 0% rules; 0% rules;
OCDR, 30% OCDR, 30% OCDR, 30% OCDR, 0%
adv100% lag12; adv100%lag12; adv100%lag12; adv100%lag0;
bp and Loan bp and Loan bp and Loan bp and Loan
Yield Yield Yield Yield
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
99-30+ 6.9320 6.9323 6.9323 6.9323
100-00+ 6.9244 6.9248 6.9248 6.9248
100-02+ 6.9169 6.9173 6.9173 6.9173
100-04+ 6.9093 6.9099 6.9099 6.9099
100-06+ 6.9017 6.9024 6.9024 6.9024
100-08+ 6.8942 6.8949 6.8949 6.8949
100-10+ 6.8866 6.8874 6.8874 6.8874
100-12+ 6.8791 6.8800 6.8800 6.8800
100-14+ 6.8715 6.8725 6.8725 6.8725
100-16+ 6.8640 6.8651 6.8651 6.8651
100-18+ 6.8565 6.8576 6.8576 6.8576
100-20+ 6.8489 6.8502 6.8502 6.8502
100-22+ 6.8414 6.8428 6.8428 6.8428
100-24+ 6.8339 6.8353 6.8353 6.8353
100-26+ 6.8264 6.8279 6.8279 6.8279
100-28+ 6.8189 6.8205 6.8205 6.8205
100-30+ 6.8114 6.8131 6.8131 6.8131
Spread @ Center Price 147 147 147 147
WAL 12.67016 12.90278 12.90278 12.90278
Mod Durn 8.225 8.319 8.319 8.319
Mod Convexity 0.868 0.891 0.891 0.891
Principal Window Jan12 to Feb12 Apr12 to Apr12 Apr12 to Apr12 Apr12 to Apr12
Maturity #mos 153 155 155 155
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Loan Overrides Apply
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon 36 months 25% 36 months 50% 36 months 75% 36 months 100%
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 30% 30% 30% 0%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 0 mos
Optional Redemption
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials. Prospective investors are advised to carefully read,
and should rely solely on, the final prospectus and prospectus supplement (the
"Final Prospectus") relating to the certificates referred to herein (the
"Offered Certificates") in making their investment decision. These Computational
Materials have been based upon the assumptions described above, which most
likely will not represent the actual experience of the Mortgage Pool in the
future. No representation is made herein as to the actual rate or timing of
principal payments or prepayments on any of the underlying Mortgage Loans in the
Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
FUNCM99C2_RED, Class E--Price/Yield
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $41,353,533.00 Settle at Pricing
Coupon 0 Original Balance $41,353,533.00 Accrual begins 5/1/99
Delay 14 Current Balance $41,353,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN WAC
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Price 0CPR ym; OCPR ym; OCPR ym;
Ext0mo 100% Ext0mo 100% OCPR ym; Ext0mo Ext0mo 100%
0% rules; 0% rules; 100% 0% rules; 0% rules;
OCDR, 30% OCDR, 30% OCDR, 30% OCDR, 0%
adv100% lag12; adv100%lag12; adv100%lag12; adv100%lag0;
bp and Loan bp and Loan bp and Loan bp and Loan
Yield Yield Yield Yield
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
99-25+ 7.4273 7.4301 7.4305 7.4304
99-27+ 7.4196 7.4223 7.4228 7.4227
99-29+ 7.4118 7.4146 7.4151 7.4150
99-31+ 7.4041 7.4069 7.4074 7.4073
100-01+ 7.3964 7.3992 7.3997 7.3996
100-03+ 7.3886 7.3915 7.3920 7.3919
100-05+ 7.3809 7.3838 7.3843 7.3843
100-07+ 7.3732 7.3761 7.3767 7.3766
100-09+ 7.3655 7.3685 7.3690 7.3690
100-11+ 7.3578 7.3608 7.3613 7.3613
100-13+ 7.3501 7.3531 7.3537 7.3537
100-15+ 7.3424 7.3455 7.3460 7.3460
100-17+ 7.3347 7.3378 7.3384 7.3384
100-19+ 7.3270 7.3302 7.3307 7.3308
100-21+ 7.3193 7.3225 7.3231 7.3232
100-23+ 7.3117 7.3149 7.3155 7.3156
100-25+ 7.3040 7.3073 7.3079 7.3080
Spread @ Center Price 196 197 197 196
WAL 12.80633 12.90278 12.91814 12.96476
Mod Durn 8.053 8.090 8.096 8.114
Mod Convexity 0.846 0.855 0.856 0.861
Principal Window Feb12 to Mar12 Apr12 to Apr12 Apr12 to May12 Apr12 to May12
Maturity #mos 154 155 156 156
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Loan Overrides Apply
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon 36 months 25% 36 months 50% 36 months 75% 36 months 100%
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 30% 30% 30% 0%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 0 mos
Optional Redemption
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials. Prospective investors are advised to carefully read,
and should rely solely on, the final prospectus and prospectus supplement (the
"Final Prospectus") relating to the certificates referred to herein (the
"Offered Certificates") in making their investment decision. These Computational
Materials have been based upon the assumptions described above, which most
likely will not represent the actual experience of the Mortgage Pool in the
future. No representation is made herein as to the actual rate or timing of
principal payments or prepayments on any of the underlying Mortgage Loans in the
Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
FUNCM99C2_RED, Class F--Price/Yield
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CUSIP Face $17,722,943.00 Settle at Pricing
Coupon 0 Original Balance $17,722,943.00 Accrual begins 5/1/99
Delay 14 Current Balance $17,722,943.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN WAC
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Price 0CPR ym; OCPR ym; OCPR ym;
Ext0mo 100% Ext0mo 100% OCPR ym; Ext0mo Ext0mo 100%
0% rules; 0% rules; 100% 0% rules; 0% rules;
OCDR, 30% OCDR, 30% OCDR, 30% OCDR, 0%
adv100% lag12; adv100%lag12; adv100%lag12; adv100%lag0;
bp and Loan bp and Loan bp and Loan bp and Loan
Yield Yield Yield Yield
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
94-01+ 8.1677 8.1695 8.1672 8.1673
94-03+ 8.1593 8.1611 8.1589 8.1589
94-05+ 8.1510 8.1528 8.1505 8.1506
94-07+ 8.1426 8.1444 8.1422 8.1423
94-09+ 8.1343 8.1361 8.1339 8.1340
94-11+ 8.1259 8.1278 8.1256 8.1257
94-13+ 8.1176 8.1194 8.1173 8.1174
94-15+ 8.1093 8.1111 8.1090 8.1091
94-17+ 8.1009 8.1028 8.1007 8.1008
94-19+ 8.0926 8.0945 8.0924 8.0925
94-21+ 8.0843 8.0862 8.0841 8.0842
94-23+ 8.0760 8.0779 8.0759 8.0760
94-25+ 8.0677 8.0696 8.0676 8.0677
94-27+ 8.0594 8.0613 8.0594 8.0594
94-29+ 8.0512 8.0530 8.0511 8.0512
94-31+ 8.0429 8.0448 8.0429 8.0430
95-01+ 8.0346 8.0365 8.0347 8.0347
Spread @ Center Price 270 270 270 270
WAL 12.90251 12.91316 12.98611 12.98611
Mod Durn 7.916 7.920 7.947 7.947
Mod Convexity 0.828 0.829 0.836 0.836
Principal Window Mar12 to Apr12 Apr12 to May12 May12 to May12 May12 to May12
Maturity #mos 155 156 156 156
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Loan Overrides Apply
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon 36 months 25% 36 months 50% 36 months 75% 36 months 100%
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 30% 30% 30% 0%
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 0 mos
Optional Redemption
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials. Prospective investors are advised to carefully read,
and should rely solely on, the final prospectus and prospectus supplement (the
"Final Prospectus") relating to the certificates referred to herein (the
"Offered Certificates") in making their investment decision. These Computational
Materials have been based upon the assumptions described above, which most
likely will not represent the actual experience of the Mortgage Pool in the
future. No representation is made herein as to the actual rate or timing of
principal payments or prepayments on any of the underlying Mortgage Loans in the
Mortgage Pool or the actual performance characteristics of the Offered
Certificates. Prior to making any investment decision, a prospective investor
should receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY OFFERED
CERTIFICATES.
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
FUNCM99C2_RED2, CLASS A1
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP Face $203,500,000.00 Settle at Pricing
Coupon 6.245 Original Balance $203,500,000.00 Accrual begins 5/1/99
Delay 14 Current Balance $203,500,000.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX WAL 5.39176 yrs
</TABLE>
YIELD CURVE: Spread off interpolated node
3MO=5.079, 6MO=5.079, 1YR=5.079, 2YR=5.079, 3YR=5.123333333, 5YR=5.212,
10YR=5.32, 30YR=5.701
Prepay: At 0 CPR No prepays: Lockout and penalties: Include penalty
Default: At 0 CDR Loss Severity: 0% Servicer Advances: 100% of P & I
Recovery Lag: 0 mos
Extension, if balloon: None Increase Coupon: Pay Exten Princ:
Optional Redemption:
<TABLE>
<CAPTION>
PerDate Principal Interest Cash Flow Balance Prepay Penalty
<S> <C> <C> <C> <C> <C>
0. May 20, 99 0.00 0.00 0.00 203,500,000.00 0.00
1. Jun 15, 99 1,524,826.55 1,059,047.92 2,583,874.47 201,975,173.45 0.00
2. Jul 15, 99 1,083,286.80 1,051,112.47 2,134,399.26 200,891,886.65 0.00
3. Aug 15, 99 893,184.15 1,045,474.86 1,938,659.01 199,998,702.50 0.00
4. Sep 15, 99 898,777.20 1,040,826.58 1,939,603.78 199,099,925.30 0.00
5. Oct 15, 99 1,100,813.07 1,036,149.19 2,136,962.27 197,999,112.23 0.00
6. Nov 15, 99 914,642.06 1,030,420.38 1,945,062.44 197,084,470.17 0.00
7. Dec 15, 99 1,467,749.42 1,025,660.43 2,493,409.85 195,616,720.75 0.00
8. Jan 15, 00 927,385.04 1,018,022.02 1,945,407.06 194,689,335.71 0.00
9. Feb 15, 00 933,192.48 1,013,195.75 1,946,388.23 193,756,143.23 0.00
10. Mar 15, 00 1,332,074.06 1,008,339.26 2,340,413.32 192,424,069.17 0.00
11. Apr 15, 00 947,416.34 1,001,406.93 1,948,823.27 191,476,652.83 0.00
12. May 15, 00 1,176,879.03 996,476.41 2,173,355.45 190,299,773.79 0.00
13. Jun 15, 00 1,258,815.87 990,351.74 2,249,167.61 189,040,957.93 0.00
14. Jul 15, 00 1,190,046.04 983,800.65 2,173,846.69 187,850,911.89 0.00
15. Aug 15, 00 995,537.17 977,607.45 1,973,144.62 186,855,374.72 0.00
16. Sep 15, 00 1,001,775.50 972,426.51 1,974,202.02 185,853,599.22 0.00
17. Oct 15, 00 1,209,482.80 967,213.11 2,176,695.90 184,644,116.42 0.00
18. Nov 15, 00 1,015,651.08 960,918.76 1,976,569.84 183,628,465.33 0.00
19. Dec 15, 00 1,610,066.39 955,633.14 2,565,699.52 182,018,398.95 0.00
20. Jan 15, 01 1,031,995.25 947,254.08 1,979,249.34 180,986,403.69 0.00
21. Feb 15, 01 1,038,463.95 941,883.41 1,980,347.36 179,947,939.74 0.00
22. Mar 15, 01 1,649,061.87 936,479.07 2,585,540.94 178,298,877.87 0.00
23. Apr 15, 01 1,055,365.15 927,897.08 1,983,262.22 177,243,512.72 0.00
24. May 15, 01 1,262,858.71 922,404.78 2,185,263.49 175,980,654.01 0.00
25. Jun 15, 01 1,359,953.11 915,832.65 2,275,785.76 174,620,700.90 0.00
26. Jul 15, 01 1,277,093.76 908,755.23 2,185,848.99 173,343,607.14 0.00
27. Aug 15, 01 1,084,650.35 902,109.02 1,986,759.37 172,258,956.80 0.00
28. Sep 15, 01 1,091,451.58 896,464.32 1,987,915.90 171,167,505.22 0.00
29. Oct 15, 01 1,298,162.52 890,784.23 2,188,946.74 169,869,342.71 0.00
30. Nov 15, 01 1,106,453.90 884,028.37 1,990,482.27 168,762,888.81 0.00
31. Dec 15, 01 1,719,799.12 878,270.20 2,598,069.32 167,043,089.69 0.00
32. Jan 15, 02 1,121,643.58 869,320.08 1,990,963.66 165,921,446.11 0.00
33. Feb 15, 02 1,128,678.34 863,482.86 1,992,161.20 164,792,767.77 0.00
34. Mar 15, 02 1,732,230.76 857,609.03 2,589,839.79 163,060,537.01 0.00
35. Apr 15, 02 1,146,674.17 848,594.21 1,995,268.38 161,913,862.84 0.00
36. May 15, 02 1,352,175.24 842,626.73 2,194,801.96 160,561,687.60 0.00
37. Jun 15, 02 1,475,615.21 835,589.78 2,311,205.00 159,086,072.39 0.00
38. Jul 15, 02 1,367,525.96 827,910.44 2,195,436.40 157,718,546.43 0.00
39. Aug 15, 02 1,178,254.86 820,793.60 1,999,048.46 156,540,291.57 0.00
40. Sep 15, 02 1,185,647.27 814,661.77 2,000,309.04 155,354,644.30 0.00
41. Oct 15, 02 1,390,302.65 808,491.46 2,198,794.11 153,964,341.65 0.00
42. Nov 15, 02 1,201,826.44 801,256.09 2,003,082.54 152,762,515.21 0.00
43. Dec 15, 02 1,873,857.94 795,001.59 2,668,859.53 150,888,657.27 0.00
44. Jan 15, 03 1,219,474.46 785,249.72 2,004,724.18 149,669,182.81 0.00
45. Feb 15, 03 1,246,406.78 778,903.37 2,025,310.15 148,422,776.03 0.00
46. Mar 15, 03 1,859,963.52 772,416.86 2,632,380.38 146,562,812.52 0.00
47. Apr 15, 03 1,265,942.26 762,737.30 2,028,679.56 145,296,870.26 0.00
48. May 15, 03 1,475,237.66 756,149.13 2,231,386.79 143,821,632.60 0.00
49. Jun 15, 03 1,600,751.65 748,471.75 2,349,223.39 142,220,880.95 0.00
50. Jul 15, 03 1,494,672.23 740,141.17 2,234,813.39 140,726,208.72 0.00
51. Aug 15, 03 1,303,198.25 732,362.64 2,035,560.89 139,423,010.47 0.00
52. Sep 15, 03 1,311,824.97 725,580.58 2,037,405.55 138,111,185.51 0.00
53. Oct 15, 03 1,535,353.83 718,753.63 2,254,107.46 136,575,831.68 0.00
54. Nov 15, 03 1,343,458.68 710,763.39 2,054,222.07 135,232,373.00 0.00
55. Dec 15, 03 2,035,652.17 703,771.81 2,739,423.98 133,196,720.83 0.00
56. Jan 15, 04 11,505,318.23 693,177.93 12,198,496.17 121,691,402.59 0.00
57. Feb 15, 04 1,368,480.81 633,302.34 2,001,783.15 120,322,921.78 0.00
58. Mar 15, 04 1,775,003.91 626,180.54 2,401,184.44 118,547,917.88 0.00
59. Apr 15, 04 1,388,220.59 616,943.12 2,005,163.71 117,159,697.29 0.00
60. May 15, 04 1,595,340.57 609,718.59 2,205,059.16 115,564,356.72 0.00
61. Jun 15, 04 1,776,295.77 601,416.17 2,377,711.94 113,788,060.95 0.00
62. Jul 15, 04 1,613,660.62 592,172.03 2,205,832.65 112,174,400.33 0.00
63. Aug 15, 04 1,425,903.67 583,774.28 2,009,677.95 110,748,496.66 0.00
64. Sep 15, 04 1,434,847.29 576,353.63 2,011,200.93 109,313,649.37 0.00
65. Oct 15, 04 1,640,962.57 568,886.45 2,209,849.02 107,672,686.79 0.00
66. Nov 15, 04 1,454,154.10 560,346.61 2,014,500.71 106,218,532.70 0.00
67. Dec 15, 04 2,092,162.26 552,778.95 2,644,941.21 104,126,370.43 0.00
68. Jan 15, 05 1,473,702.01 541,890.99 2,015,593.00 102,652,668.42 0.00
69. Feb 15, 05 1,482,947.34 534,221.60 2,017,168.93 101,169,721.08 0.00
70. Mar 15, 05 2,079,576.45 526,504.09 2,606,080.54 99,090,144.63 0.00
71. Apr 15, 05 1,505,337.73 515,681.63 2,021,019.36 97,584,806.90 0.00
72. May 15, 05 1,709,921.67 507,847.60 2,217,769.26 95,874,885.23 0.00
73. Jun 15, 05 2,019,027.38 498,948.88 2,517,976.26 93,855,857.85 0.00
74. Jul 15, 05 1,729,672.74 488,441.53 2,218,114.27 92,126,185.11 0.00
75. Aug 15, 05 1,545,964.60 479,440.02 2,025,404.63 90,580,220.51 0.00
76. Sep 15, 05 1,555,666.30 471,394.56 2,027,060.87 89,024,554.20 0.00
77. Oct 15, 05 3,343,048.92 463,298.62 3,806,347.54 85,681,505.28 0.00
78. Nov 15, 05 1,574,730.54 445,900.83 2,020,631.37 84,106,774.74 0.00
79. Dec 15, 05 14,916,313.29 437,705.67 15,354,018.96 69,190,461.46 0.00
80. Jan 15, 06 1,578,681.90 360,078.69 1,938,760.59 67,611,779.56 0.00
81. Feb 15, 06 1,588,602.41 351,862.97 1,940,465.38 66,023,177.15 0.00
82. Mar 15, 06 2,167,544.78 343,595.62 2,511,140.39 63,855,632.37 0.00
83. Apr 15, 06 1,612,245.03 332,315.35 1,944,560.39 62,243,387.34 0.00
84. May 15, 06 1,811,360.84 323,924.96 2,135,285.80 60,432,026.50 0.00
85. Jun 15, 06 2,311,712.83 314,498.34 2,626,211.17 58,120,313.67 0.00
86. Jul 15, 06 1,832,426.55 302,467.80 2,134,894.35 56,287,887.12 0.00
87. Aug 15, 06 1,655,574.10 292,931.55 1,948,505.65 54,632,313.02 0.00
88. Sep 15, 06 1,665,980.97 284,315.66 1,950,296.63 52,966,332.05 0.00
89. Oct 15, 06 1,863,941.03 275,645.62 2,139,586.65 51,102,391.02 0.00
90. Nov 15, 06 1,688,183.12 265,945.36 1,954,128.48 49,414,207.90 0.00
91. Dec 15, 06 2,137,634.49 257,159.77 2,394,794.26 47,276,573.41 0.00
92. Jan 15, 07 1,710,663.08 246,035.17 1,956,698.25 45,565,910.33 0.00
93. Feb 15, 07 1,721,418.38 237,132.59 1,958,550.97 43,844,491.95 0.00
94. Mar 15, 07 2,290,074.85 228,174.04 2,518,248.90 41,554,417.10 0.00
95. Apr 15, 07 1,746,675.89 216,256.11 1,962,932.00 39,807,741.21 0.00
96. May 15, 07 1,942,888.45 207,166.12 2,150,054.57 37,864,852.76 0
97. Jun 15, 07 2,328,031.94 197,055.00 2,525,086.95 35,536,820.82 0
98. Jul 15, 07 1,965,600.13 184,939.54 2,150,539.67 33,571,220.68 0
99. Aug 15, 07 1,793,390.74 174,710.23 1,968,100.97 31,777,829.94 0
100. Sep 15, 07 1,804,669.52 165,377.12 1,970,046.64 29,973,160.42 0
101. Oct 15, 07 1,999,634.32 155,985.32 2,155,619.65 27,973,526.09 0
102. Nov 15, 07 1,828,607.57 145,578.89 1,974,186.46 26,144,918.52 0
103. Dec 15, 07 2,238,719.10 136,062.51 2,374,781.61 23,906,199.42 0
104. Jan 15, 08 1,854,263.41 124,411.85 1,978,675.25 22,051,936.01 0
105. Feb 15, 08 1,866,970.19 114,761.95 1,981,732.14 20,184,965.82 0
106. Mar 15, 08 2,242,613.50 105,045.93 2,347,659.43 17,942,352.32 0
107. Apr 15, 08 1,892,846.94 93,374.99 1,986,221.93 16,049,505.39 0
108. May 15, 08 7,484,989.25 83,524.30 7,568,513.56 8,564,516.13 0
109. Jun 15, 08 8,564,516.13 44,571.17 8,609,087.30 0 0
Total 203,500,000.00 68,698,116.20 272,198,116.20 0
(table continued)
PerDate Princ Writedown Accrued Interest Interest Shortfall Coupon
0. May 20, 99 0.00 0.00 0.00 0.000000
1. Jun 15, 99 0.00 1,059,047.92 0.00 6.245000
2. Jul 15, 99 0.00 1,051,112.47 0.00 6.245000
3. Aug 15, 99 0.00 1,045,474.86 0.00 6.245000
4. Sep 15, 99 0.00 1,040,826.58 0.00 6.245000
5. Oct 15, 99 0.00 1,036,149.19 0.00 6.245000
6. Nov 15, 99 0.00 1,030,420.38 0.00 6.245000
7. Dec 15, 99 0.00 1,025,660.43 0.00 6.245000
8. Jan 15, 00 0.00 1,018,022.02 0.00 6.245000
9. Feb 15, 00 0.00 1,013,195.75 0.00 6.245000
10. Mar 15, 00 0.00 1,008,339.26 0.00 6.245000
11. Apr 15, 00 0.00 1,001,406.93 0.00 6.245000
12. May 15, 00 0.00 996,476.41 0.00 6.245000
13. Jun 15, 00 0.00 990,351.74 0.00 6.245000
14. Jul 15, 00 0.00 983,800.65 0.00 6.245000
15. Aug 15, 00 0.00 977,607.45 0.00 6.245000
16. Sep 15, 00 0.00 972,426.51 0.00 6.245000
17. Oct 15, 00 0.00 967,213.11 0.00 6.245000
18. Nov 15, 00 0.00 960,918.76 0.00 6.245000
19. Dec 15, 00 0.00 955,633.14 0.00 6.245000
20. Jan 15, 01 0.00 947,254.08 0.00 6.245000
21. Feb 15, 01 0.00 941,883.41 0.00 6.245000
22. Mar 15, 01 0.00 936,479.07 0.00 6.245000
23. Apr 15, 01 0.00 927,897.08 0.00 6.245000
24. May 15, 01 0.00 922,404.78 0.00 6.245000
25. Jun 15, 01 0.00 915,832.65 0.00 6.245000
26. Jul 15, 01 0.00 908,755.23 0.00 6.245000
27. Aug 15, 01 0.00 902,109.02 0.00 6.245000
28. Sep 15, 01 0.00 896,464.32 0.00 6.245000
29. Oct 15, 01 0.00 890,784.23 0.00 6.245000
30. Nov 15, 01 0.00 884,028.37 0.00 6.245000
31. Dec 15, 01 0.00 878,270.20 0.00 6.245000
32. Jan 15, 02 0.00 869,320.08 0.00 6.245000
33. Feb 15, 02 0.00 863,482.86 0.00 6.245000
34. Mar 15, 02 0.00 857,609.03 0.00 6.245000
35. Apr 15, 02 0.00 848,594.21 0.00 6.245000
36. May 15, 02 0.00 842,626.73 0.00 6.245000
37. Jun 15, 02 0.00 835,589.78 0.00 6.245000
38. Jul 15, 02 0.00 827,910.44 0.00 6.245000
39. Aug 15, 02 0.00 820,793.60 0.00 6.245000
40. Sep 15, 02 0.00 814,661.77 0.00 6.245000
41. Oct 15, 02 0.00 808,491.46 0.00 6.245000
42. Nov 15, 02 0.00 801,256.09 0.00 6.245000
43. Dec 15, 02 0.00 795,001.59 0.00 6.245000
44. Jan 15, 03 0.00 785,249.72 0.00 6.245000
45. Feb 15, 03 0.00 778,903.37 0.00 6.245000
46. Mar 15, 03 0.00 772,416.86 0.00 6.245000
47. Apr 15, 03 0.00 762,737.30 0.00 6.245000
48. May 15, 03 0.00 756,149.13 0.00 6.245000
49. Jun 15, 03 0.00 748,471.75 0.00 6.245000
50. Jul 15, 03 0.00 740,141.17 0.00 6.245000
51. Aug 15, 03 0.00 732,362.64 0.00 6.245000
52. Sep 15, 03 0.00 725,580.58 0.00 6.245000
53. Oct 15, 03 0.00 718,753.63 0.00 6.245000
54. Nov 15, 03 0.00 710,763.39 0.00 6.245000
55. Dec 15, 03 0.00 703,771.81 0.00 6.245000
56. Jan 15, 04 0.00 693,177.93 0.00 6.245000
57. Feb 15, 04 0.00 633,302.34 0.00 6.245000
58. Mar 15, 04 0.00 626,180.54 0.00 6.245000
59. Apr 15, 04 0.00 616,943.12 0.00 6.245000
60. May 15, 04 0.00 609,718.59 0.00 6.245000
61. Jun 15, 04 0.00 601,416.17 0.00 6.245000
62. Jul 15, 04 0.00 592,172.03 0.00 6.245000
63. Aug 15, 04 0.00 583,774.28 0.00 6.245000
64. Sep 15, 04 0.00 576,353.63 0.00 6.245000
65. Oct 15, 04 0.00 568,886.45 0.00 6.245000
66. Nov 15, 04 0.00 560,346.61 0.00 6.245000
67. Dec 15, 04 0.00 552,778.95 0.00 6.245000
68. Jan 15, 05 0.00 541,890.99 0.00 6.245000
69. Feb 15, 05 0.00 534,221.60 0.00 6.245000
70. Mar 15, 05 0.00 526,504.09 0.00 6.245000
71. Apr 15, 05 0.00 515,681.63 0.00 6.245000
72. May 15, 05 0.00 507,847.60 0.00 6.245000
73. Jun 15, 05 0.00 498,948.88 0.00 6.245000
74. Jul 15, 05 0.00 488,441.53 0.00 6.245000
75. Aug 15, 05 0.00 479,440.02 0.00 6.245000
76. Sep 15, 05 0.00 471,394.56 0.00 6.245000
77. Oct 15, 05 0.00 463,298.62 0.00 6.245000
78. Nov 15, 05 0.00 445,900.83 0.00 6.245000
79. Dec 15, 05 0.00 437,705.67 0.00 6.245000
80. Jan 15, 06 0.00 360,078.69 0.00 6.245000
81. Feb 15, 06 0.00 351,862.97 0.00 6.245000
82. Mar 15, 06 0.00 343,595.62 0.00 6.245000
83. Apr 15, 06 0.00 332,315.35 0.00 6.245000
84. May 15, 06 0.00 323,924.96 0.00 6.245000
85. Jun 15, 06 0.00 314,498.34 0.00 6.245000
86. Jul 15, 06 0.00 302,467.80 0.00 6.245000
87. Aug 15, 06 0.00 292,931.55 0.00 6.245000
88. Sep 15, 06 0.00 284,315.66 0.00 6.245000
89. Oct 15, 06 0.00 275,645.62 0.00 6.245000
90. Nov 15, 06 0.00 265,945.36 0.00 6.245000
91. Dec 15, 06 0.00 257,159.77 0.00 6.245000
92. Jan 15, 07 0.00 246,035.17 0.00 6.245000
93. Feb 15, 07 0.00 237,132.59 0.00 6.245000
94. Mar 15, 07 0.00 228,174.04 0.00 6.245000
95. Apr 15, 07 0.00 216,256.11 0.00 6.245000
96. May 15, 07 0 207,166.12 0 6.245
97. Jun 15, 07 0 197,055.00 0 6.245
98. Jul 15, 07 0 184,939.54 0 6.245
99. Aug 15, 07 0 174,710.23 0 6.245
100. Sep 15, 07 0 165,377.12 0 6.245
101. Oct 15, 07 0 155,985.32 0 6.245
102. Nov 15, 07 0 145,578.89 0 6.245
103. Dec 15, 07 0 136,062.51 0 6.245
104. Jan 15, 08 0 124,411.85 0 6.245
105. Feb 15, 08 0 114,761.95 0 6.245
106. Mar 15, 08 0 105,045.93 0 6.245
107. Apr 15, 08 0 93,374.99 0 6.245
108. May 15, 08 0 83,524.30 0 6.245
109. Jun 15, 08 0 44,571.17 0 6.245
Total 0 68,698,116.20 0
</TABLE>
<PAGE>
UNDERWRITERS' STATEMENT
COMPUTATIONAL MATERIALS
FIRST UNION NATIONAL BANK- CHASE MANHATTAN BANK
COMMERCIAL MORTGAGE TRUST-
COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
SERIES 1999-C2
________________________________________________________________________________
The attached tables and statistical analysis (the "Computational Materials") are
privileged and confidential and are intended for use by the addressee only.
These Computational Materials are furnished to you solely by First Union Capital
Markets Corp. and Chase Securities Inc. (collectively, the "Underwriter") and
not by the issuer of the certificates identified above (the "Offered
Certificates") or any other party. The issuer of the Offered Certificates has
not prepared or taken part in the preparation of these materials. None of the
Underwriters, the issuer of the Offered Certificates, or any other party makes
any representation as to the accuracy or completeness of the information herein.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such information.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated herein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials reflect future
performance. These Computational Materials should not be construed as either a
prediction or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment and other assumptions and actual experience may dramatically
affect such yields or weighted average lives. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates assumed in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
Offered Certificates may differ from those shown in the Computational Materials
due to difference between the actual underlying assets and the hypothetical
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Offered Certificates has been filed with the Securities and Exchange Commission
and is effective, the final prospectus supplement relating to the Offered
Certificates has not been filed with the Securities and Exchange Commission.
This communication shall not constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the Offered Certificates in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the Offered Certificates for definitive terms of the
Offered Certificates and the collateral.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these Offered Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
FUNCM 99-C2 A1 - PREPAYMENTS AFTER LO
- -------------------------------------------------------
CUSIP
Coupon 6.31
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $203,500,000.00
Original Balance $203,500,000.00
Current Balance $203,500,000.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
<TABLE>
<CAPTION>
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
PRICE 0CPR 10CPR 15CPR 25CPR
Yield Yield Yield Yield
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
<S> <C> <C> <C> <C>
100-15 6.2282 6.4964 6.6040 6.7925
100-17 6.2138 6.4796 6.5863 6.7733
100-19 6.1995 6.4628 6.5686 6.7541
100-21 6.1851 6.4461 6.5509 6.7349
100-23 6.1708 6.4293 6.5332 6.7157
100-25 6.1564 6.4126 6.5156 6.6965
100-27 6.1421 6.3959 6.4979 6.6774
100-29 6.1278 6.3791 6.4803 6.6582
100-31 6.1135 6.3624 6.4627 6.6391
101-01 6.0992 6.3458 6.4451 6.6200
101-03 6.0850 6.3291 6.4275 6.6009
101-05 6.0707 6.3124 6.4099 6.5818
101-07 6.0565 6.2958 6.3924 6.5628
101-09 6.0423 6.2792 6.3748 6.5437
101-11 6.0280 6.2626 6.3573 6.5247
101-13 6.0138 6.2460 6.3398 6.5057
101-15 5.9996 6.2294 6.3223 6.4867
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
Spread @ Center Price 88 117 128 148
WAL 5.39180 4.47770 4.20840 3.83280
Mod Durn 4.319 3.697 3.504 3.228
Mod Convexity 0.253 0.180 0.161 0.135
Principal Window Jun99 to Jun08 Jun99 to Feb07 Jun99 to Jul06 Jun99 to Dec05
Maturity #mos 109 93 86 79
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------ --------------------- -------------------- -------------------
PRICE 50CPR 75CPR 100CPR
Yield Yield Yield
- ------------------------------------ --------------------- -------------------- -------------------
100-15 7.1436 7.3810 7.6900
100-17 7.1213 7.3565 7.6618
100-19 7.0991 7.3319 7.6337
100-21 7.0769 7.3075 7.6056
100-23 7.0547 7.2830 7.5775
100-25 7.0325 7.2585 7.5494
100-27 7.0104 7.2341 7.5213
100-29 6.9882 7.2097 7.4933
100-31 6.9661 7.1853 7.4653
101-01 6.9440 7.1610 7.4374
101-03 6.9220 7.1366 7.4094
101-05 6.8999 7.1123 7.3815
101-07 6.8779 7.0880 7.3536
101-09 6.8559 7.0637 7.3257
101-11 6.8339 7.0395 7.2979
101-13 6.8119 7.0153 7.2701
101-15 6.7899 6.9911 7.2423
- ------------------------------------ --------------------- -------------------- -------------------
- ------------------------------------ --------------------- -------------------- -------------------
Spread @ Center Price 183 207 237
WAL 3.25330 2.92350 2.53450
Mod Durn 2.792 2.532 2.205
Mod Convexity 0.099 0.081 0.062
Principal Window Jun99 to Mar05 Jun99 to Oct04 Jun99 to Sep04
Maturity #mos 70 65 64
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------ --------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 A1 - PREPAYMENTS AFTER YM
- -------------------------------------------------------
CUSIP
Coupon 6.31
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $203,500,000.00
Original Balance $203,500,000.00
Current Balance $203,500,000.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM 10CPR YM 15CPR YM 25CPR YM
Yield Yield Yield Yield
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
100-15 6.2282 6.2282 6.2281 6.2281
100-17 6.2138 6.2138 6.2137 6.2137
100-19 6.1995 6.1994 6.1994 6.1993
100-21 6.1851 6.1850 6.1850 6.1849
100-23 6.1708 6.1707 6.1707 6.1706
100-25 6.1564 6.1564 6.1563 6.1562
100-27 6.1421 6.1420 6.1420 6.1419
100-29 6.1278 6.1277 6.1277 6.1276
100-31 6.1135 6.1134 6.1134 6.1133
101-01 6.0992 6.0991 6.0991 6.0990
101-03 6.0850 6.0849 6.0848 6.0847
101-05 6.0707 6.0706 6.0706 6.0704
101-07 6.0565 6.0564 6.0563 6.0562
101-09 6.0423 6.0421 6.0421 6.0419
101-11 6.0280 6.0279 6.0279 6.0277
101-13 6.0138 6.0137 6.0136 6.0135
101-15 5.9996 5.9995 5.9994 5.9993
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
Spread @ Center Price 88 88 88 88
WAL 5.39180 5.38920 5.38780 5.38490
Mod Durn 4.319 4.317 4.317 4.315
Mod Convexity 0.253 0.253 0.253 0.253
Principal Window Jun99 to Jun08 Jun99 to Jun08 Jun99 to Jun08 Jun99 to Jun08
Maturity #mos 109 109 109 109
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------ --------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM 75CPR YM 100CPR YM
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
100-15 6.2279 6.2277 6.2267
100-17 6.2135 6.2133 6.2122
100-19 6.1991 6.1989 6.1977
100-21 6.1847 6.1845 6.1832
100-23 6.1704 6.1701 6.1688
100-25 6.1560 6.1557 6.1543
100-27 6.1417 6.1413 6.1399
100-29 6.1273 6.1270 6.1254
100-31 6.1130 6.1127 6.1110
101-01 6.0987 6.0983 6.0966
101-03 6.0844 6.0840 6.0822
101-05 6.0701 6.0697 6.0678
101-07 6.0559 6.0554 6.0535
101-09 6.0416 6.0412 6.0391
101-11 6.0274 6.0269 6.0248
101-13 6.0131 6.0127 6.0104
101-15 5.9989 5.9984 5.9961
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 88 88 88
WAL 5.37750 5.36870 5.33020
Mod Durn 4.310 4.305 4.280
Mod Convexity 0.252 0.251 0.248
Principal Window Jun99 to May08 Jun99 to Apr08 Jun99 to Feb08
Maturity #mos 108 107 105
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 A1 - PREPAYMENTS AFTER PREPAYMENT PENALTIES
- -------------------------------------------------------
CUSIP
Coupon 6.31
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $203,500,000.00
Original Balance $203,500,000.00
Current Balance $203,500,000.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM PT 10CPR YM PT 15CPR YM PT 25CPR YM PT
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-15 6.2282 6.2282 6.2281 6.2281
100-17 6.2138 6.2138 6.2137 6.2137
100-19 6.1995 6.1994 6.1994 6.1993
100-21 6.1851 6.1850 6.1850 6.1849
100-23 6.1708 6.1707 6.1706 6.1706
100-25 6.1564 6.1564 6.1563 6.1562
100-27 6.1421 6.1420 6.1420 6.1419
100-29 6.1278 6.1277 6.1277 6.1276
100-31 6.1135 6.1134 6.1134 6.1133
101-01 6.0992 6.0991 6.0991 6.0990
101-03 6.0850 6.0849 6.0848 6.0847
101-05 6.0707 6.0706 6.0706 6.0704
101-07 6.0565 6.0564 6.0563 6.0562
101-09 6.0423 6.0421 6.0421 6.0419
101-11 6.0280 6.0279 6.0278 6.0277
101-13 6.0138 6.0137 6.0136 6.0135
101-15 5.9996 5.9995 5.9994 5.9993
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 88 88 88 88
WAL 5.39180 5.38920 5.38780 5.38490
Mod Durn 4.319 4.317 4.317 4.315
Mod Convexity 0.253 0.253 0.253 0.253
Principal Window Jun99 to Jun08 Jun99 to Jun08 Jun99 to Jun08 Jun99 to Jun08
Maturity #mos 109 109 109 109
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
During any pts, During any pts, During any pts, During any pts,
No prepays any YM any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM PT 75CPR YM PT 100CPR YM PT
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
100-15 6.2279 6.2277 6.2267
100-17 6.2135 6.2133 6.2122
100-19 6.1991 6.1989 6.1977
100-21 6.1847 6.1844 6.1832
100-23 6.1703 6.1701 6.1688
100-25 6.1560 6.1557 6.1543
100-27 6.1416 6.1413 6.1399
100-29 6.1273 6.1270 6.1254
100-31 6.1130 6.1126 6.1110
101-01 6.0987 6.0983 6.0966
101-03 6.0844 6.0840 6.0822
101-05 6.0701 6.0697 6.0678
101-07 6.0558 6.0554 6.0535
101-09 6.0416 6.0411 6.0391
101-11 6.0273 6.0269 6.0248
101-13 6.0131 6.0126 6.0104
101-15 5.9989 5.9984 5.9961
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 88 88 88
WAL 5.37760 5.36870 5.33020
Mod Durn 4.310 4.305 4.280
Mod Convexity 0.252 0.251 0.248
Principal Window Jun99 to May08 Jun99 to Apr08 Jun99 to Feb08
Maturity #mos 108 107 105
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
During any pts, During any pts, During any pts,
No prepays any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 A2 - PREPAYMENTS AFTER LO
- -------------------------------------------------------
CUSIP
Coupon 6.58
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR 10CPR 15CPR 25CPR
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-30+ 6.4970 6.5005 6.5028 6.5040
101-00+ 6.4881 6.4915 6.4938 6.4949
101-02+ 6.4792 6.4826 6.4848 6.4859
101-04+ 6.4703 6.4736 6.4758 6.4768
101-06+ 6.4614 6.4647 6.4668 6.4677
101-08+ 6.4526 6.4557 6.4578 6.4587
101-10+ 6.4437 6.4468 6.4489 6.4497
101-12+ 6.4348 6.4379 6.4399 6.4406
101-14+ 6.4259 6.4289 6.4309 6.4316
101-16+ 6.4171 6.4200 6.4220 6.4226
101-18+ 6.4082 6.4111 6.4130 6.4136
101-20+ 6.3994 6.4022 6.4041 6.4046
101-22+ 6.3906 6.3933 6.3952 6.3956
101-24+ 6.3817 6.3844 6.3862 6.3866
101-26+ 6.3729 6.3756 6.3773 6.3776
101-28+ 6.3641 6.3667 6.3684 6.3686
101-30+ 6.3553 6.3578 6.3595 6.3596
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 108 109 109 109
WAL 9.58680 9.50320 9.45040 9.36070
Mod Durn 6.930 6.884 6.855 6.803
Mod Convexity 0.580 0.572 0.567 0.559
Principal Window Jun08 to Apr09 Feb07 to Apr09 Jul06 to Apr09 Dec05 to Apr09
Maturity #mos 119 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR 75CPR 100CPR
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
100-30+ 6.4997 6.4953 6.4920
101-00+ 6.4906 6.4861 6.4827
101-02+ 6.4814 6.4770 6.4734
101-04+ 6.4723 6.4678 6.4641
101-06+ 6.4631 6.4586 6.4548
101-08+ 6.4540 6.4494 6.4455
101-10+ 6.4449 6.4403 6.4362
101-12+ 6.4358 6.4311 6.4270
101-14+ 6.4266 6.4220 6.4177
101-16+ 6.4175 6.4128 6.4084
101-18+ 6.4084 6.4037 6.3992
101-20+ 6.3994 6.3946 6.3899
101-22+ 6.3903 6.3855 6.3807
101-24+ 6.3812 6.3764 6.3715
101-26+ 6.3721 6.3673 6.3622
101-28+ 6.3631 6.3582 6.3530
101-30+ 6.3540 6.3491 6.3438
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 109 109 109
WAL 9.25380 9.20840 9.04350
Mod Durn 6.742 6.717 6.629
Mod Convexity 0.550 0.546 0.530
Principal Window Mar05 to Mar09 Oct04 to Mar09 Sep04 to Jan09
Maturity #mos 118 118 116
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 A2 - PREPAYMENTS AFTER YM
- -------------------------------------------------------
CUSIP
Coupon 6.58
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM 10CPR YM 15CPR YM 25CPR YM
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-30+ 6.4970 6.4970 6.4969 6.4969
101-00+ 6.4881 6.4881 6.4880 6.4879
101-02+ 6.4792 6.4792 6.4791 6.4790
101-04+ 6.4703 6.4703 6.4702 6.4701
101-06+ 6.4614 6.4614 6.4613 6.4612
101-08+ 6.4526 6.4525 6.4524 6.4523
101-10+ 6.4437 6.4436 6.4435 6.4434
101-12+ 6.4348 6.4347 6.4347 6.4346
101-14+ 6.4259 6.4259 6.4258 6.4257
101-16+ 6.4171 6.4170 6.4169 6.4168
101-18+ 6.4082 6.4081 6.4081 6.4080
101-20+ 6.3994 6.3993 6.3992 6.3991
101-22+ 6.3906 6.3905 6.3904 6.3903
101-24+ 6.3817 6.3816 6.3816 6.3814
101-26+ 6.3729 6.3728 6.3727 6.3726
101-28+ 6.3641 6.3640 6.3639 6.3638
101-30+ 6.3553 6.3552 6.3551 6.3550
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 108 108 108 108
WAL 9.58680 9.58130 9.57850 9.57230
Mod Durn 6.930 6.927 6.925 6.922
Mod Convexity 0.580 0.580 0.579 0.579
Principal Window Jun08 to Apr09 Jun08 to Apr09 Jun08 to Apr09 Jun08 to Apr09
Maturity #mos 119 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM 75CPR YM 100CPR YM
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
100-30+ 6.4966 6.4963 6.4938
101-00+ 6.4877 6.4873 6.4847
101-02+ 6.4788 6.4784 6.4757
101-04+ 6.4698 6.4694 6.4666
101-06+ 6.4609 6.4605 6.4575
101-08+ 6.4520 6.4516 6.4485
101-10+ 6.4431 6.4426 6.4394
101-12+ 6.4342 6.4337 6.4304
101-14+ 6.4253 6.4248 6.4214
101-16+ 6.4165 6.4159 6.4123
101-18+ 6.4076 6.4070 6.4033
101-20+ 6.3987 6.3982 6.3943
101-22+ 6.3899 6.3893 6.3853
101-24+ 6.3810 6.3804 6.3763
101-26+ 6.3722 6.3715 6.3673
101-28+ 6.3633 6.3627 6.3584
101-30+ 6.3545 6.3538 6.3494
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 108 108 108
WAL 9.55320 9.52420 9.34190
Mod Durn 6.912 6.897 6.801
Mod Convexity 0.577 0.574 0.557
Principal Window May08 to Apr09 Apr08 to Apr09 Feb08 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 A2 - PREPAYMENTS AFTER PREPAYMENT PENALTIES
- -------------------------------------------------------
CUSIP
Coupon 6.58
Delay 14
Stated Maturity N/A
Type SEN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $673,785,678.00
Original Balance $673,785,678.00
Current Balance $673,785,678.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM PT 10CPR YM PT 15CPR YM PT 25CPR YM PT
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-30+ 6.4970 6.4970 6.4969 6.4969
101-00+ 6.4881 6.4881 6.4880 6.4879
101-02+ 6.4792 6.4792 6.4791 6.4790
101-04+ 6.4703 6.4703 6.4702 6.4701
101-06+ 6.4614 6.4614 6.4613 6.4612
101-08+ 6.4526 6.4525 6.4524 6.4523
101-10+ 6.4437 6.4436 6.4435 6.4434
101-12+ 6.4348 6.4347 6.4347 6.4346
101-14+ 6.4259 6.4258 6.4258 6.4257
101-16+ 6.4171 6.4170 6.4169 6.4168
101-18+ 6.4082 6.4081 6.4081 6.4080
101-20+ 6.3994 6.3993 6.3992 6.3991
101-22+ 6.3906 6.3905 6.3904 6.3903
101-24+ 6.3817 6.3816 6.3816 6.3814
101-26+ 6.3729 6.3728 6.3727 6.3726
101-28+ 6.3641 6.3640 6.3639 6.3638
101-30+ 6.3553 6.3552 6.3551 6.3550
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 108 108 108 108
WAL 9.58680 9.58150 9.57870 9.57260
Mod Durn 6.930 6.927 6.925 6.922
Mod Convexity 0.580 0.580 0.579 0.579
Principal Window Jun08 to Apr09 Jun08 to Apr09 Jun08 to Apr09 Jun08 to Apr09
Maturity #mos 119 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
During any pts, During any pts, During any pts, During any pts,
No prepays any YM any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM PT 75CPR YM PT 100CPR YM PT
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
100-30+ 6.4966 6.4962 6.4938
101-00+ 6.4877 6.4873 6.4847
101-02+ 6.4788 6.4783 6.4756
101-04+ 6.4698 6.4694 6.4666
101-06+ 6.4609 6.4605 6.4575
101-08+ 6.4520 6.4515 6.4485
101-10+ 6.4431 6.4426 6.4394
101-12+ 6.4342 6.4337 6.4304
101-14+ 6.4253 6.4248 6.4214
101-16+ 6.4165 6.4159 6.4123
101-18+ 6.4076 6.4070 6.4033
101-20+ 6.3987 6.3981 6.3943
101-22+ 6.3899 6.3893 6.3853
101-24+ 6.3810 6.3804 6.3763
101-26+ 6.3722 6.3715 6.3673
101-28+ 6.3633 6.3627 6.3584
101-30+ 6.3545 6.3538 6.3494
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 108 108 108
WAL 9.55400 9.52550 9.34410
Mod Durn 6.912 6.898 6.802
Mod Convexity 0.577 0.574 0.557
Principal Window May08 to Apr09 Apr08 to Apr09 Feb08 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
During any pts, During any pts, During any pts,
No prepays any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 B - PREPAYMENTS AFTER LO
- -------------------------------------------------------
CUSIP
Coupon 6.7
Delay 14
Stated Maturity N/A
Type JUN FIX
- -------------------------------------------------------
- -------------------------------------------------------
Face $47,261,182.00
Original Balance $47,261,182.00
Current Balance $47,261,182.00
Factor 1
- -------------------------------------------------------
- -------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- -------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR 10CPR 15CPR 25CPR
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-30+ 6.6228 6.6231 6.6231 6.6230
101-00+ 6.6140 6.6144 6.6144 6.6143
101-02+ 6.6053 6.6056 6.6056 6.6055
101-04+ 6.5965 6.5969 6.5969 6.5968
101-06+ 6.5878 6.5881 6.5881 6.5881
101-08+ 6.5791 6.5794 6.5794 6.5793
101-10+ 6.5703 6.5707 6.5707 6.5706
101-12+ 6.5616 6.5620 6.5620 6.5619
101-14+ 6.5529 6.5533 6.5533 6.5532
101-16+ 6.5442 6.5446 6.5446 6.5445
101-18+ 6.5355 6.5359 6.5359 6.5358
101-20+ 6.5268 6.5272 6.5272 6.5271
101-22+ 6.5181 6.5185 6.5185 6.5184
101-24+ 6.5095 6.5098 6.5098 6.5097
101-26+ 6.5008 6.5012 6.5012 6.5011
101-28+ 6.4921 6.4925 6.4925 6.4924
101-30+ 6.4835 6.4838 6.4839 6.4838
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 120 120 120 120
WAL 9.90280 9.90280 9.90280 9.90280
Mod Durn 7.053 7.053 7.053 7.053
Mod Convexity 0.606 0.606 0.606 0.606
Principal Window Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 119 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR 75CPR 100CPR
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
100-30+ 6.6227 6.6222 6.6205
101-00+ 6.6140 6.6134 6.6116
101-02+ 6.6052 6.6046 6.6028
101-04+ 6.5965 6.5958 6.5939
101-06+ 6.5877 6.5871 6.5850
101-08+ 6.5790 6.5783 6.5762
101-10+ 6.5703 6.5695 6.5674
101-12+ 6.5615 6.5608 6.5585
101-14+ 6.5528 6.5521 6.5497
101-16+ 6.5441 6.5433 6.5409
101-18+ 6.5354 6.5346 6.5321
101-20+ 6.5267 6.5259 6.5233
101-22+ 6.5180 6.5172 6.5145
101-24+ 6.5093 6.5085 6.5057
101-26+ 6.5007 6.4998 6.4969
101-28+ 6.4920 6.4911 6.4881
101-30+ 6.4833 6.4824 6.4794
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 120 120 120
WAL 9.89120 9.85040 9.72060
Mod Durn 7.047 7.026 6.960
Mod Convexity 0.605 0.601 0.588
Principal Window Mar09 to Apr09 Mar09 to Apr09 Jan09 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 B - PREPAYMENTS AFTER YM
- ------------------------------------------------------
CUSIP
Coupon 6.7
Delay 14
Stated Maturity N/A
Type JUN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $47,261,182.00
Original Balance $47,261,182.00
Current Balance $47,261,182.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
PRICE 0CPR YM 10CPR YM 15CPR YM 25CPR YM
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
100-30+ 6.6228 6.6228 6.6228 6.6228
101-00+ 6.6140 6.6140 6.6140 6.6140
101-02+ 6.6053 6.6053 6.6053 6.6053
101-04+ 6.5965 6.5965 6.5965 6.5965
101-06+ 6.5878 6.5878 6.5878 6.5878
101-08+ 6.5791 6.5791 6.5791 6.5791
101-10+ 6.5703 6.5703 6.5703 6.5703
101-12+ 6.5616 6.5616 6.5616 6.5616
101-14+ 6.5529 6.5529 6.5529 6.5529
101-16+ 6.5442 6.5442 6.5442 6.5442
101-18+ 6.5355 6.5355 6.5355 6.5355
101-20+ 6.5268 6.5268 6.5268 6.5268
101-22+ 6.5181 6.5182 6.5182 6.5182
101-24+ 6.5095 6.5095 6.5095 6.5095
101-26+ 6.5008 6.5008 6.5008 6.5008
101-28+ 6.4921 6.4922 6.4922 6.4922
101-30+ 6.4835 6.4835 6.4835 6.4835
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
Spread @ Center Price 120 120 120 120
WAL 9.90280 9.90280 9.90280 9.90280
Mod Durn 7.053 7.053 7.053 7.053
Mod Convexity 0.606 0.606 0.606 0.606
Principal Window Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 119 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM 75CPR YM 100CPR YM
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
100-30+ 6.6228 6.6228 6.6207
101-00+ 6.6140 6.6140 6.6118
101-02+ 6.6053 6.6053 6.6030
101-04+ 6.5965 6.5965 6.5941
101-06+ 6.5878 6.5878 6.5853
101-08+ 6.5791 6.5791 6.5765
101-10+ 6.5703 6.5704 6.5676
101-12+ 6.5616 6.5616 6.5588
101-14+ 6.5529 6.5529 6.5500
101-16+ 6.5442 6.5442 6.5412
101-18+ 6.5355 6.5355 6.5324
101-20+ 6.5268 6.5268 6.5236
101-22+ 6.5182 6.5182 6.5148
101-24+ 6.5095 6.5095 6.5060
101-26+ 6.5008 6.5008 6.4973
101-28+ 6.4922 6.4922 6.4885
101-30+ 6.4835 6.4835 6.4797
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 120 120 120
WAL 9.90280 9.90280 9.73610
Mod Durn 7.053 7.053 6.968
Mod Convexity 0.606 0.606 0.590
Principal Window Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 B - PREPAYMENTS AFTER PREPAYMENT PENALTIES
- ------------------------------------------------------
CUSIP
Coupon 6.7
Delay 14
Stated Maturity N/A
Type JUN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $47,261,182.00
Original Balance $47,261,182.00
Current Balance $47,261,182.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
PRICE 0CPR YM PT 10CPR YM PT 15CPR YM PT 25CPR YM PT
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
100-30+ 6.6228 6.6228 6.6228 6.6228
101-00+ 6.6140 6.6140 6.6140 6.6140
101-02+ 6.6053 6.6053 6.6053 6.6053
101-04+ 6.5965 6.5965 6.5965 6.5965
101-06+ 6.5878 6.5878 6.5878 6.5878
101-08+ 6.5791 6.5791 6.5791 6.5791
101-10+ 6.5703 6.5703 6.5703 6.5703
101-12+ 6.5616 6.5616 6.5616 6.5616
101-14+ 6.5529 6.5529 6.5529 6.5529
101-16+ 6.5442 6.5442 6.5442 6.5442
101-18+ 6.5355 6.5355 6.5355 6.5355
101-20+ 6.5268 6.5268 6.5268 6.5268
101-22+ 6.5181 6.5181 6.5181 6.5181
101-24+ 6.5095 6.5095 6.5095 6.5095
101-26+ 6.5008 6.5008 6.5008 6.5008
101-28+ 6.4921 6.4921 6.4921 6.4921
101-30+ 6.4835 6.4835 6.4835 6.4835
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
Spread @ Center Price 120 120 120 120
WAL 9.90280 9.90280 9.90280 9.90280
Mod Durn 7.053 7.053 7.053 7.053
Mod Convexity 0.606 0.606 0.606 0.606
Principal Window Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 119 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
During any pts, During any pts, During any pts,
No prepays any YM any YM any YM During any pts, any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- -------------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM PT 75CPR YM PT 100CPR YM PT
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
100-30+ 6.6228 6.6228 6.6207
101-00+ 6.6140 6.6140 6.6118
101-02+ 6.6053 6.6053 6.6030
101-04+ 6.5965 6.5965 6.5941
101-06+ 6.5878 6.5878 6.5853
101-08+ 6.5791 6.5791 6.5765
101-10+ 6.5703 6.5703 6.5676
101-12+ 6.5616 6.5616 6.5588
101-14+ 6.5529 6.5529 6.5500
101-16+ 6.5442 6.5442 6.5412
101-18+ 6.5355 6.5355 6.5324
101-20+ 6.5268 6.5268 6.5236
101-22+ 6.5181 6.5181 6.5148
101-24+ 6.5095 6.5095 6.5060
101-26+ 6.5008 6.5008 6.4973
101-28+ 6.4921 6.4921 6.4885
101-30+ 6.4835 6.4835 6.4797
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 120 120 120
WAL 9.90280 9.90280 9.73610
Mod Durn 7.053 7.053 6.968
Mod Convexity 0.606 0.606 0.590
Principal Window Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
During any pts, During any pts, During any pts,
No prepays any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 C - PREPAYMENTS AFTER LO
- ------------------------------------------------------
CUSIP
Coupon 6.76
Delay 14
Stated Maturity N/A
Type JUN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $62,030,300.00
Original Balance $62,030,300.00
Current Balance $62,030,300.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR 10CPR 15CPR 25CPR
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-14 6.7564 6.7567 6.7567 6.7566
100-16 6.7475 6.7479 6.7479 6.7478
100-18 6.7387 6.7391 6.7391 6.7390
100-20 6.7299 6.7302 6.7302 6.7301
100-22 6.7211 6.7214 6.7214 6.7213
100-24 6.7123 6.7126 6.7126 6.7125
100-26 6.7035 6.7038 6.7038 6.7037
100-28 6.6947 6.6950 6.6950 6.6949
100-30 6.6859 6.6862 6.6862 6.6861
101-00 6.6771 6.6774 6.6774 6.6773
101-02 6.6683 6.6686 6.6687 6.6686
101-04 6.6595 6.6599 6.6599 6.6598
101-06 6.6508 6.6511 6.6511 6.6510
101-08 6.6420 6.6424 6.6424 6.6423
101-10 6.6333 6.6336 6.6336 6.6335
101-12 6.6245 6.6249 6.6249 6.6248
101-14 6.6158 6.6161 6.6161 6.6161
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 133 133 133 133
WAL 9.90520 9.90280 9.90280 9.90280
Mod Durn 7.024 7.022 7.022 7.022
Mod Convexity 0.602 0.602 0.602 0.602
Principal Window Apr09 to May09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 120 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR 75CPR 100CPR
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
100-14 6.7565 6.7564 6.7552
100-16 6.7476 6.7476 6.7462
100-18 6.7388 6.7387 6.7373
100-20 6.7300 6.7299 6.7283
100-22 6.7211 6.7211 6.7194
100-24 6.7123 6.7123 6.7105
100-26 6.7035 6.7035 6.7016
100-28 6.6947 6.6947 6.6927
100-30 6.6859 6.6859 6.6838
101-00 6.6772 6.6771 6.6749
101-02 6.6684 6.6683 6.6660
101-04 6.6596 6.6596 6.6571
101-06 6.6509 6.6508 6.6483
101-08 6.6421 6.6420 6.6394
101-10 6.6334 6.6333 6.6306
101-12 6.6246 6.6246 6.6217
101-14 6.6159 6.6158 6.6129
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 133 133 133
WAL 9.90280 9.90280 9.73610
Mod Durn 7.022 7.022 6.939
Mod Convexity 0.602 0.602 0.586
Principal Window Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 C - PREPAYMENTS AFTER YM
- ------------------------------------------------------
CUSIP
Coupon 6.76
Delay 14
Stated Maturity N/A
Type JUN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $62,030,300.00
Original Balance $62,030,300.00
Current Balance $62,030,300.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM 10CPR YM 15CPR YM 25CPR YM
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-14 6.7564 6.7564 6.7564 6.7564
100-16 6.7475 6.7475 6.7475 6.7475
100-18 6.7387 6.7387 6.7387 6.7387
100-20 6.7299 6.7299 6.7299 6.7299
100-22 6.7211 6.7210 6.7210 6.7210
100-24 6.7123 6.7122 6.7122 6.7122
100-26 6.7035 6.7034 6.7034 6.7034
100-28 6.6947 6.6946 6.6946 6.6946
100-30 6.6859 6.6858 6.6858 6.6858
101-00 6.6771 6.6771 6.6771 6.6771
101-02 6.6683 6.6683 6.6683 6.6683
101-04 6.6595 6.6595 6.6595 6.6595
101-06 6.6508 6.6508 6.6508 6.6508
101-08 6.6420 6.6420 6.6420 6.6420
101-10 6.6333 6.6333 6.6333 6.6333
101-12 6.6245 6.6245 6.6245 6.6245
101-14 6.6158 6.6158 6.6158 6.6158
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 133 133 133 133
WAL 9.90520 9.90280 9.90280 9.90280
Mod Durn 7.024 7.022 7.022 7.022
Mod Convexity 0.602 0.602 0.602 0.602
Principal Window Apr09 to May09 Apr09 to May09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 120 120 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM 75CPR YM 100CPR YM
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
100-14 6.7564 6.7564 6.7552
100-16 6.7475 6.7475 6.7462
100-18 6.7387 6.7387 6.7373
100-20 6.7299 6.7299 6.7283
100-22 6.7211 6.7211 6.7194
100-24 6.7122 6.7123 6.7105
100-26 6.7034 6.7034 6.7016
100-28 6.6946 6.6947 6.6927
100-30 6.6859 6.6859 6.6838
101-00 6.6771 6.6771 6.6749
101-02 6.6683 6.6683 6.6660
101-04 6.6595 6.6595 6.6571
101-06 6.6508 6.6508 6.6483
101-08 6.6420 6.6420 6.6394
101-10 6.6333 6.6333 6.6306
101-12 6.6245 6.6245 6.6217
101-14 6.6158 6.6158 6.6129
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 133 133 133
WAL 9.90280 9.90280 9.73610
Mod Durn 7.022 7.022 6.939
Mod Convexity 0.602 0.602 0.586
Principal Window Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 C - PREPAYMENTS AFTER PREPAYMENT PENALTIES
- ------------------------------------------------------
CUSIP
Coupon 6.76
Delay 14
Stated Maturity N/A
Type JUN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $62,030,300.00
Original Balance $62,030,300.00
Current Balance $62,030,300.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM PT 10CPR YM PT 15CPR YM PT 25CPR YM PT
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
100-14 6.7564 6.7564 6.7564 6.7564
100-16 6.7475 6.7475 6.7475 6.7475
100-18 6.7387 6.7387 6.7387 6.7387
100-20 6.7299 6.7299 6.7299 6.7299
100-22 6.7211 6.7210 6.7210 6.7210
100-24 6.7123 6.7122 6.7122 6.7122
100-26 6.7035 6.7034 6.7034 6.7034
100-28 6.6947 6.6946 6.6946 6.6946
100-30 6.6859 6.6858 6.6858 6.6858
101-00 6.6771 6.6771 6.6771 6.6771
101-02 6.6683 6.6683 6.6683 6.6683
101-04 6.6595 6.6595 6.6595 6.6595
101-06 6.6508 6.6508 6.6508 6.6508
101-08 6.6420 6.6420 6.6420 6.6420
101-10 6.6333 6.6333 6.6332 6.6332
101-12 6.6245 6.6245 6.6245 6.6245
101-14 6.6158 6.6158 6.6158 6.6158
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 133 133 133 133
WAL 9.90520 9.90310 9.90280 9.90280
Mod Durn 7.024 7.023 7.022 7.022
Mod Convexity 0.602 0.602 0.602 0.602
Principal Window Apr09 to May09 Apr09 to May09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 120 120 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
During any pts, During any pts, During any pts, During any pts,
No prepays any YM any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM PT 75CPR YM PT 100CPR YM PT
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
100-14 6.7564 6.7564 6.7552
100-16 6.7475 6.7475 6.7462
100-18 6.7387 6.7387 6.7373
100-20 6.7299 6.7299 6.7283
100-22 6.7210 6.7210 6.7194
100-24 6.7122 6.7122 6.7105
100-26 6.7034 6.7034 6.7016
100-28 6.6946 6.6946 6.6927
100-30 6.6858 6.6858 6.6838
101-00 6.6771 6.6771 6.6749
101-02 6.6683 6.6683 6.6660
101-04 6.6595 6.6595 6.6571
101-06 6.6508 6.6508 6.6483
101-08 6.6420 6.6420 6.6394
101-10 6.6332 6.6332 6.6306
101-12 6.6245 6.6245 6.6217
101-14 6.6158 6.6158 6.6129
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 133 133 133
WAL 9.90280 9.90280 9.73610
Mod Durn 7.022 7.022 6.939
Mod Convexity 0.602 0.602 0.586
Principal Window Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
During any pts, During any pts, During any pts,
No prepays any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 D - PREPAYMENTS AFTER LO
- ------------------------------------------------------
CUSIP
Coupon 6.86
Delay 14
Stated Maturity N/A
Type JUN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $14,769,120.00
Original Balance $14,769,120.00
Current Balance $14,769,120.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- --------------------------------------------------------------------------------------------------------------------
PRICE 0CPR 10CPR 15CPR 25CPR
Yield Yield Yield Yield
- --------------------------------------------------------------------------------------------------------------------
99-30+ 6.9274 6.9276 6.9277 6.9276
100-00+ 6.9186 6.9187 6.9187 6.9186
100-02+ 6.9097 6.9098 6.9098 6.9097
100-04+ 6.9008 6.9009 6.9009 6.9008
100-06+ 6.8920 6.8919 6.8919 6.8919
100-08+ 6.8831 6.8830 6.8830 6.8829
100-10+ 6.8742 6.8741 6.8741 6.8740
100-12+ 6.8654 6.8652 6.8652 6.8652
100-14+ 6.8566 6.8564 6.8564 6.8563
100-16+ 6.8477 6.8475 6.8475 6.8474
100-18+ 6.8389 6.8386 6.8386 6.8385
100-20+ 6.8301 6.8297 6.8297 6.8297
100-22+ 6.8213 6.8209 6.8209 6.8208
100-24+ 6.8125 6.8120 6.8120 6.8119
100-26+ 6.8037 6.8032 6.8032 6.8031
100-28+ 6.7949 6.7943 6.7944 6.7943
100-30+ 6.7861 6.7855 6.7855 6.7854
- --------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------
Spread @ Center Price 150 150 150 150
WAL 9.98610 9.90280 9.90280 9.90280
Mod Durn 7.020 6.979 6.979 6.979
Mod Convexity 0.604 0.596 0.596 0.596
Principal Window May09 to May09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 120 119 119 119
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- --------------------------------------------------------------------------------------------------------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR 75CPR 100CPR
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
99-30+ 6.9274 6.9273 6.9269
100-00+ 6.9184 6.9184 6.9178
100-02+ 6.9095 6.9094 6.9088
100-04+ 6.9006 6.9005 6.8998
100-06+ 6.8917 6.8916 6.8908
100-08+ 6.8828 6.8827 6.8817
100-10+ 6.8739 6.8738 6.8727
100-12+ 6.8650 6.8649 6.8637
100-14+ 6.8561 6.8560 6.8547
100-16+ 6.8472 6.8471 6.8458
100-18+ 6.8383 6.8383 6.8368
100-20+ 6.8295 6.8294 6.8278
100-22+ 6.8206 6.8205 6.8188
100-24+ 6.8118 6.8117 6.8099
100-26+ 6.8029 6.8028 6.8009
100-28+ 6.7941 6.7940 6.7920
100-30+ 6.7852 6.7852 6.7831
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 150 150 150
WAL 9.90280 9.90280 9.73610
Mod Durn 6.979 6.979 6.896
Mod Convexity 0.596 0.596 0.581
Principal Window Apr09 to Apr09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 D - PREPAYMENTS AFTER YM
- ------------------------------------------------------
CUSIP
Coupon 6.86
Delay 14
Stated Maturity N/A
Type JUN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $14,769,120.00
Original Balance $14,769,120.00
Current Balance $14,769,120.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM 10CPR YM 15CPR YM 25CPR YM
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
99-30+ 6.9274 6.9275 6.9274 6.9274
100-00+ 6.9186 6.9186 6.9186 6.9185
100-02+ 6.9097 6.9097 6.9097 6.9096
100-04+ 6.9008 6.9008 6.9008 6.9008
100-06+ 6.8920 6.8920 6.8919 6.8919
100-08+ 6.8831 6.8831 6.8831 6.8830
100-10+ 6.8742 6.8743 6.8742 6.8742
100-12+ 6.8654 6.8654 6.8654 6.8653
100-14+ 6.8566 6.8566 6.8565 6.8565
100-16+ 6.8477 6.8477 6.8477 6.8476
100-18+ 6.8389 6.8389 6.8389 6.8388
100-20+ 6.8301 6.8301 6.8301 6.8300
100-22+ 6.8213 6.8213 6.8213 6.8212
100-24+ 6.8125 6.8125 6.8125 6.8123
100-26+ 6.8037 6.8037 6.8037 6.8035
100-28+ 6.7949 6.7949 6.7949 6.7948
100-30+ 6.7861 6.7862 6.7861 6.7860
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 150 150 150 150
WAL 9.98610 9.98610 9.98110 9.96980
Mod Durn 7.020 7.020 7.018 7.012
Mod Convexity 0.604 0.604 0.604 0.603
Principal Window May09 to May09 May09 to May09 Apr09 to May09 Apr09 to May09
Maturity #mos 120 120 120 120
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM 75CPR YM 100CPR YM
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
99-30+ 6.9274 6.9273 6.9269
100-00+ 6.9184 6.9183 6.9178
100-02+ 6.9095 6.9094 6.9088
100-04+ 6.9006 6.9005 6.8998
100-06+ 6.8917 6.8916 6.8908
100-08+ 6.8828 6.8827 6.8817
100-10+ 6.8740 6.8738 6.8727
100-12+ 6.8651 6.8649 6.8637
100-14+ 6.8562 6.8560 6.8547
100-16+ 6.8474 6.8471 6.8458
100-18+ 6.8385 6.8382 6.8368
100-20+ 6.8297 6.8294 6.8278
100-22+ 6.8208 6.8205 6.8188
100-24+ 6.8120 6.8117 6.8099
100-26+ 6.8032 6.8028 6.8009
100-28+ 6.7944 6.7940 6.7920
100-30+ 6.7856 6.7852 6.7831
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 150 150 150
WAL 9.93600 9.90280 9.73610
Mod Durn 6.996 6.979 6.896
Mod Convexity 0.600 0.596 0.581
Principal Window Apr09 to May09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 120 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 D - PREPAYMENTS AFTER PREPAYMENT PENALTIES
- ------------------------------------------------------
CUSIP
Coupon 6.86
Delay 14
Stated Maturity N/A
Type JUN FIX
- ------------------------------------------------------
- ------------------------------------------------------
Face $14,769,120.00
Original Balance $14,769,120.00
Current Balance $14,769,120.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM PT 10CPR YM PT 15CPR YM PT 25CPR YM PT
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
99-30+ 6.9274 6.9274 6.9274 6.9274
100-00+ 6.9186 6.9186 6.9186 6.9185
100-02+ 6.9097 6.9097 6.9097 6.9096
100-04+ 6.9008 6.9008 6.9008 6.9008
100-06+ 6.8920 6.8920 6.8919 6.8919
100-08+ 6.8831 6.8831 6.8831 6.8830
100-10+ 6.8742 6.8742 6.8742 6.8742
100-12+ 6.8654 6.8654 6.8654 6.8653
100-14+ 6.8566 6.8566 6.8565 6.8565
100-16+ 6.8477 6.8477 6.8477 6.8476
100-18+ 6.8389 6.8389 6.8389 6.8388
100-20+ 6.8301 6.8301 6.8301 6.8300
100-22+ 6.8213 6.8213 6.8213 6.8212
100-24+ 6.8125 6.8125 6.8125 6.8124
100-26+ 6.8037 6.8037 6.8037 6.8036
100-28+ 6.7949 6.7949 6.7949 6.7948
100-30+ 6.7861 6.7861 6.7861 6.7860
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 150 150 150 150
WAL 9.98610 9.98610 9.98280 9.97260
Mod Durn 7.020 7.020 7.019 7.014
Mod Convexity 0.604 0.604 0.604 0.603
Principal Window May09 to May09 May09 to May09 Apr09 to May09 Apr09 to May09
Maturity #mos 120 120 120 120
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
During any pts, During any pts, During any pts, During any pts,
No prepays any YM any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM PT 75CPR YM PT 100CPR YM PT
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
99-30+ 6.9273 6.9273 6.9269
100-00+ 6.9184 6.9183 6.9178
100-02+ 6.9095 6.9094 6.9088
100-04+ 6.9006 6.9005 6.8998
100-06+ 6.8917 6.8916 6.8908
100-08+ 6.8829 6.8827 6.8817
100-10+ 6.8740 6.8737 6.8727
100-12+ 6.8651 6.8649 6.8637
100-14+ 6.8563 6.8560 6.8547
100-16+ 6.8474 6.8471 6.8458
100-18+ 6.8385 6.8382 6.8368
100-20+ 6.8297 6.8294 6.8278
100-22+ 6.8209 6.8205 6.8188
100-24+ 6.8120 6.8116 6.8099
100-26+ 6.8032 6.8028 6.8009
100-28+ 6.7944 6.7940 6.7920
100-30+ 6.7856 6.7851 6.7831
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 150 150 150
WAL 9.94180 9.90280 9.73610
Mod Durn 6.998 6.979 6.896
Mod Convexity 0.600 0.596 0.581
Principal Window Apr09 to May09 Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 120 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
During any pts, During any pts, During any pts,
No prepays any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 E - PREPAYMENTS AFTER LO
- ------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- ------------------------------------------------------
- ------------------------------------------------------
Face $41,353,533.00
Original Balance $41,353,533.00
Current Balance $41,353,533.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR 10CPR 15CPR 25CPR
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
99-25+ 7.4293 7.4296 7.4291 7.4281
99-27+ 7.4202 7.4204 7.4200 7.4189
99-29+ 7.4111 7.4113 7.4109 7.4098
99-31+ 7.4020 7.4023 7.4018 7.4007
100-01+ 7.3929 7.3932 7.3927 7.3916
100-03+ 7.3839 7.3841 7.3836 7.3825
100-05+ 7.3748 7.3750 7.3745 7.3734
100-07+ 7.3657 7.3660 7.3654 7.3643
100-09+ 7.3567 7.3569 7.3564 7.3553
100-11+ 7.3476 7.3478 7.3473 7.3462
100-13+ 7.3386 7.3388 7.3383 7.3371
100-15+ 7.3296 7.3298 7.3292 7.3281
100-17+ 7.3206 7.3207 7.3202 7.3190
100-19+ 7.3115 7.3117 7.3112 7.3100
100-21+ 7.3025 7.3027 7.3021 7.3010
100-23+ 7.2935 7.2937 7.2931 7.2919
100-25+ 7.2846 7.2847 7.2841 7.2829
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 200 200 200 200
WAL 9.98610 9.97480 9.96140 9.94460
Mod Durn 6.861 6.856 6.850 6.843
Mod Convexity 0.584 0.583 0.582 0.581
Principal Window May09 to May09 Apr09 to May09 Apr09 to May09 Apr09 to May09
Maturity #mos 120 120 120 120
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR 75CPR 100CPR
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
99-25+ 7.4265 7.4259 7.4246
99-27+ 7.4173 7.4168 7.4153
99-29+ 7.4082 7.4077 7.4061
99-31+ 7.3991 7.3985 7.3968
100-01+ 7.3899 7.3894 7.3876
100-03+ 7.3808 7.3803 7.3784
100-05+ 7.3717 7.3712 7.3692
100-07+ 7.3626 7.3621 7.3599
100-09+ 7.3536 7.3530 7.3507
100-11+ 7.3445 7.3439 7.3415
100-13+ 7.3354 7.3348 7.3323
100-15+ 7.3263 7.3257 7.3232
100-17+ 7.3173 7.3166 7.3140
100-19+ 7.3082 7.3076 7.3048
100-21+ 7.2992 7.2985 7.2957
100-23+ 7.2901 7.2895 7.2865
100-25+ 7.2811 7.2804 7.2774
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 200 200 200
WAL 9.92500 9.90740 9.73610
Mod Durn 6.834 6.826 6.745
Mod Convexity 0.579 0.577 0.562
Principal Window Apr09 to May09 Apr09 to May09 Feb09 to Feb09
Maturity #mos 120 120 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 E - PREPAYMENTS AFTER YM
- ------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- ------------------------------------------------------
- ------------------------------------------------------
Face $41,353,533.00
Original Balance $41,353,533.00
Current Balance $41,353,533.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM 10CPR YM 15CPR YM 25CPR YM
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
99-25+ 7.4293 7.4293 7.4293 7.4294
99-27+ 7.4202 7.4202 7.4202 7.4203
99-29+ 7.4111 7.4111 7.4112 7.4112
99-31+ 7.4020 7.4020 7.4021 7.4021
100-01+ 7.3929 7.3930 7.3930 7.3930
100-03+ 7.3839 7.3839 7.3839 7.3839
100-05+ 7.3748 7.3748 7.3748 7.3749
100-07+ 7.3657 7.3658 7.3658 7.3658
100-09+ 7.3567 7.3567 7.3567 7.3568
100-11+ 7.3476 7.3477 7.3477 7.3477
100-13+ 7.3386 7.3386 7.3387 7.3387
100-15+ 7.3296 7.3296 7.3296 7.3297
100-17+ 7.3206 7.3206 7.3206 7.3206
100-19+ 7.3115 7.3116 7.3116 7.3116
100-21+ 7.3025 7.3026 7.3026 7.3026
100-23+ 7.2935 7.2936 7.2936 7.2936
100-25+ 7.2846 7.2846 7.2846 7.2846
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 200 200 200 200
WAL 9.98610 9.98610 9.98610 9.98610
Mod Durn 6.861 6.861 6.861 6.861
Mod Convexity 0.584 0.584 0.584 0.584
Principal Window May09 to May09 May09 to May09 May09 to May09 May09 to May09
Maturity #mos 120 120 120 120
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM 75CPR YM 100CPR YM
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
99-25+ 7.4295 7.4297 7.4305
99-27+ 7.4204 7.4206 7.4213
99-29+ 7.4113 7.4115 7.4120
99-31+ 7.4022 7.4024 7.4028
100-01+ 7.3931 7.3933 7.3935
100-03+ 7.3841 7.3843 7.3843
100-05+ 7.3750 7.3752 7.3751
100-07+ 7.3659 7.3661 7.3659
100-09+ 7.3569 7.3571 7.3567
100-11+ 7.3478 7.3480 7.3475
100-13+ 7.3388 7.3390 7.3383
100-15+ 7.3298 7.3300 7.3291
100-17+ 7.3208 7.3209 7.3200
100-19+ 7.3117 7.3119 7.3108
100-21+ 7.3027 7.3029 7.3016
100-23+ 7.2937 7.2939 7.2925
100-25+ 7.2847 7.2849 7.2834
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 200 200 201
WAL 9.98610 9.98050 9.74750
Mod Durn 6.861 6.859 6.749
Mod Convexity 0.584 0.584 0.563
Principal Window May09 to May09 Apr09 to May09 Feb09 to Mar09
Maturity #mos 120 120 118
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 E - PREPAYMENTS AFTER PREPAYMENT PENALTIES
- ------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- ------------------------------------------------------
- ------------------------------------------------------
Face $41,353,533.00
Original Balance $41,353,533.00
Current Balance $41,353,533.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM PT 10CPR YM PT 15CPR YM PT 25CPR YM PT
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
99-25+ 7.4293 7.4293 7.4293 7.4294
99-27+ 7.4202 7.4202 7.4202 7.4203
99-29+ 7.4111 7.4111 7.4111 7.4112
99-31+ 7.4020 7.4020 7.4021 7.4021
100-01+ 7.3929 7.3930 7.3930 7.3930
100-03+ 7.3839 7.3839 7.3839 7.3839
100-05+ 7.3748 7.3748 7.3748 7.3749
100-07+ 7.3657 7.3658 7.3658 7.3658
100-09+ 7.3567 7.3567 7.3567 7.3568
100-11+ 7.3476 7.3477 7.3477 7.3477
100-13+ 7.3386 7.3386 7.3387 7.3387
100-15+ 7.3296 7.3296 7.3296 7.3297
100-17+ 7.3206 7.3206 7.3206 7.3206
100-19+ 7.3115 7.3116 7.3116 7.3116
100-21+ 7.3025 7.3026 7.3026 7.3026
100-23+ 7.2935 7.2936 7.2936 7.2936
100-25+ 7.2846 7.2846 7.2846 7.2846
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 200 200 200 200
WAL 9.98610 9.98610 9.98610 9.98610
Mod Durn 6.861 6.861 6.861 6.861
Mod Convexity 0.584 0.584 0.584 0.584
Principal Window May09 to May09 May09 to May09 May09 to May09 May09 to May09
Maturity #mos 120 120 120 120
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
During any pts, During any pts, During any pts, During any pts,
No prepays any YM any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM PT 75CPR YM PT 100CPR YM PT
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
99-25+ 7.4295 7.4297 7.4304
99-27+ 7.4204 7.4205 7.4212
99-29+ 7.4113 7.4115 7.4119
99-31+ 7.4022 7.4024 7.4027
100-01+ 7.3931 7.3933 7.3935
100-03+ 7.3840 7.3842 7.3843
100-05+ 7.3750 7.3751 7.3750
100-07+ 7.3659 7.3661 7.3658
100-09+ 7.3569 7.3570 7.3566
100-11+ 7.3478 7.3480 7.3474
100-13+ 7.3388 7.3389 7.3383
100-15+ 7.3298 7.3299 7.3291
100-17+ 7.3207 7.3209 7.3199
100-19+ 7.3117 7.3119 7.3108
100-21+ 7.3027 7.3029 7.3016
100-23+ 7.2937 7.2939 7.2924
100-25+ 7.2847 7.2849 7.2833
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 200 200 201
WAL 9.98610 9.98360 9.75100
Mod Durn 6.861 6.860 6.751
Mod Convexity 0.584 0.584 0.563
Principal Window May09 to May09 Apr09 to May09 Feb09 to Mar09
Maturity #mos 120 120 118
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
During any pts, During any pts, During any pts,
No prepays any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 F - PREPAYMENTS AFTER LO
- ------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- ------------------------------------------------------
- ------------------------------------------------------
Face $17,722,943.00
Original Balance $17,722,943.00
Current Balance $17,722,943.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR 10CPR 15CPR 25CPR
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
94-01+ 8.2873 8.3002 8.2998 8.2988
94-03+ 8.2776 8.2904 8.2900 8.2889
94-05+ 8.2679 8.2806 8.2802 8.2791
94-07+ 8.2582 8.2707 8.2703 8.2693
94-09+ 8.2485 8.2609 8.2605 8.2595
94-11+ 8.2389 8.2511 8.2507 8.2497
94-13+ 8.2292 8.2413 8.2409 8.2399
94-15+ 8.2196 8.2316 8.2311 8.2301
94-17+ 8.2099 8.2218 8.2214 8.2203
94-19+ 8.2003 8.2120 8.2116 8.2105
94-21+ 8.1906 8.2023 8.2018 8.2008
94-23+ 8.1810 8.1925 8.1921 8.1910
94-25+ 8.1714 8.1828 8.1824 8.1813
94-27+ 8.1618 8.1730 8.1726 8.1716
94-29+ 8.1522 8.1633 8.1629 8.1618
94-31+ 8.1426 8.1536 8.1532 8.1521
95-01+ 8.1331 8.1439 8.1435 8.1424
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 285 287 286 286
WAL 10.19130 9.98610 9.98610 9.98610
Mod Durn 6.828 6.737 6.737 6.737
Mod Convexity 0.586 0.569 0.569 0.569
Principal Window May09 to Sep09 May09 to May09 May09 to May09 May09 to May09
Maturity #mos 124 120 120 120
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR 75CPR 100CPR
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
94-01+ 8.2969 8.2962 8.3102
94-03+ 8.2871 8.2864 8.3002
94-05+ 8.2772 8.2765 8.2902
94-07+ 8.2674 8.2667 8.2802
94-09+ 8.2576 8.2569 8.2702
94-11+ 8.2478 8.2471 8.2603
94-13+ 8.2380 8.2373 8.2503
94-15+ 8.2282 8.2275 8.2404
94-17+ 8.2185 8.2178 8.2304
94-19+ 8.2087 8.2080 8.2205
94-21+ 8.1989 8.1982 8.2106
94-23+ 8.1892 8.1885 8.2006
94-25+ 8.1795 8.1787 8.1907
94-27+ 8.1697 8.1690 8.1808
94-29+ 8.1600 8.1593 8.1709
94-31+ 8.1503 8.1496 8.1611
95-01+ 8.1406 8.1399 8.1512
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 286 286 288
WAL 9.98610 9.98610 9.73610
Mod Durn 6.738 6.738 6.624
Mod Convexity 0.569 0.569 0.547
Principal Window May09 to May09 May09 to May09 Feb09 to Feb09
Maturity #mos 120 120 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 F - PREPAYMENTS AFTER YM
- ------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- ------------------------------------------------------
- ------------------------------------------------------
Face $17,722,943.00
Original Balance $17,722,943.00
Current Balance $17,722,943.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM 10CPR YM 15CPR YM 25CPR YM
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
94-01+ 8.2873 8.2877 8.2879 8.2883
94-03+ 8.2776 8.2780 8.2782 8.2785
94-05+ 8.2679 8.2683 8.2685 8.2688
94-07+ 8.2582 8.2586 8.2588 8.2591
94-09+ 8.2485 8.2489 8.2491 8.2495
94-11+ 8.2389 8.2392 8.2394 8.2398
94-13+ 8.2292 8.2296 8.2298 8.2301
94-15+ 8.2196 8.2199 8.2201 8.2205
94-17+ 8.2099 8.2103 8.2105 8.2108
94-19+ 8.2003 8.2006 8.2008 8.2012
94-21+ 8.1906 8.1910 8.1912 8.1915
94-23+ 8.1810 8.1814 8.1816 8.1819
94-25+ 8.1714 8.1718 8.1719 8.1723
94-27+ 8.1618 8.1622 8.1623 8.1627
94-29+ 8.1522 8.1526 8.1527 8.1531
94-31+ 8.1426 8.1430 8.1431 8.1435
95-01+ 8.1331 8.1334 8.1336 8.1339
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 285 285 285 285
WAL 10.19130 10.18650 10.18410 10.17950
Mod Durn 6.828 6.826 6.825 6.823
Mod Convexity 0.586 0.586 0.586 0.585
Principal Window May09 to Sep09 May09 to Sep09 May09 to Sep09 May09 to Sep09
Maturity #mos 124 124 124 124
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM 75CPR YM 100CPR YM
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
94-01+ 8.2891 8.2900 8.2974
94-03+ 8.2794 8.2802 8.2876
94-05+ 8.2697 8.2705 8.2779
94-07+ 8.2600 8.2608 8.2681
94-09+ 8.2503 8.2511 8.2584
94-11+ 8.2406 8.2414 8.2486
94-13+ 8.2309 8.2317 8.2389
94-15+ 8.2213 8.2221 8.2292
94-17+ 8.2116 8.2124 8.2195
94-19+ 8.2020 8.2027 8.2098
94-21+ 8.1923 8.1931 8.2001
94-23+ 8.1827 8.1834 8.1904
94-25+ 8.1731 8.1738 8.1807
94-27+ 8.1634 8.1642 8.1710
94-29+ 8.1538 8.1546 8.1614
94-31+ 8.1442 8.1450 8.1517
95-01+ 8.1346 8.1354 8.1421
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 285 285 286
WAL 10.16810 10.15720 10.08610
Mod Durn 6.818 6.813 6.781
Mod Convexity 0.584 0.584 0.577
Principal Window May09 to Sep09 May09 to Sep09 Mar09 to Sep09
Maturity #mos 124 124 124
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 F - PREPAYMENTS AFTER PREPAYMENT PENALTIES
- ------------------------------------------------------
CUSIP
Coupon 0
Delay 14
Stated Maturity N/A
Type JUN WAC
- ------------------------------------------------------
- ------------------------------------------------------
Face $17,722,943.00
Original Balance $17,722,943.00
Current Balance $17,722,943.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM PT 10CPR YM PT 15CPR YM PT 25CPR YM PT
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
94-01+ 8.2873 8.2873 8.2874 8.2874
94-03+ 8.2776 8.2776 8.2777 8.2777
94-05+ 8.2679 8.2679 8.2680 8.2680
94-07+ 8.2582 8.2583 8.2583 8.2583
94-09+ 8.2485 8.2486 8.2486 8.2486
94-11+ 8.2389 8.2389 8.2389 8.2389
94-13+ 8.2292 8.2292 8.2293 8.2293
94-15+ 8.2196 8.2196 8.2196 8.2196
94-17+ 8.2099 8.2099 8.2100 8.2100
94-19+ 8.2003 8.2003 8.2003 8.2004
94-21+ 8.1906 8.1907 8.1907 8.1907
94-23+ 8.1810 8.1811 8.1811 8.1811
94-25+ 8.1714 8.1714 8.1715 8.1715
94-27+ 8.1618 8.1618 8.1619 8.1619
94-29+ 8.1522 8.1522 8.1523 8.1523
94-31+ 8.1426 8.1427 8.1427 8.1427
95-01+ 8.1331 8.1331 8.1331 8.1331
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 285 285 285 285
WAL 10.19130 10.19130 10.19130 10.19130
Mod Durn 6.828 6.828 6.828 6.828
Mod Convexity 0.586 0.586 0.586 0.586
Principal Window May09 to Sep09 May09 to Sep09 May09 to Sep09 May09 to Sep09
Maturity #mos 124 124 124 124
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
During any pts, During any pts, During any pts, During any pts,
No prepays any YM any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM PT 75CPR YM PT 100CPR YM PT
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
94-01+ 8.2875 8.2876 8.2925
94-03+ 8.2778 8.2779 8.2828
94-05+ 8.2681 8.2682 8.2731
94-07+ 8.2584 8.2586 8.2634
94-09+ 8.2487 8.2489 8.2537
94-11+ 8.2390 8.2392 8.2440
94-13+ 8.2294 8.2295 8.2343
94-15+ 8.2197 8.2199 8.2246
94-17+ 8.2101 8.2102 8.2150
94-19+ 8.2004 8.2006 8.2053
94-21+ 8.1908 8.1910 8.1956
94-23+ 8.1812 8.1814 8.1860
94-25+ 8.1716 8.1717 8.1764
94-27+ 8.1620 8.1621 8.1668
94-29+ 8.1524 8.1525 8.1571
94-31+ 8.1428 8.1430 8.1475
95-01+ 8.1332 8.1334 8.1379
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 285 285 286
WAL 10.19130 10.19130 10.16180
Mod Durn 6.828 6.828 6.815
Mod Convexity 0.586 0.586 0.584
Principal Window May09 to Sep09 May09 to Sep09 Mar09 to Sep09
Maturity #mos 124 124 124
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
During any pts, During any pts, During any pts,
No prepays any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 IO - PREPAYMENTS AFTER LO
- ------------------------------------------------------
CUSIP
Coupon 0.0025
Delay 14
Stated Maturity N/A
Type SEN WAC IO
- ------------------------------------------------------
- ------------------------------------------------------
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR 10CPR 15CPR 25CPR
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
5-00+ 10.2327 10.4795 10.5713 10.7238
5-01 10.1568 10.4013 10.4922 10.6432
5-01+ 10.0813 10.3235 10.4135 10.5630
5-02 10.0061 10.2461 10.3352 10.4832
5-02+ 9.9314 10.1691 10.2573 10.4039
5-03 9.8570 10.0925 10.1798 10.3249
5-03+ 9.7830 10.0163 10.1027 10.2464
5-04 9.7094 9.9405 10.0260 10.1682
5-04+ 9.6361 9.8650 9.9496 10.0904
5-05 9.5632 9.7899 9.8737 10.0131
5-05+ 9.4907 9.7152 9.7981 9.9361
5-06 9.4185 9.6409 9.7229 9.8595
5-06+ 9.3467 9.5669 9.6481 9.7832
5-07 9.2752 9.4933 9.5736 9.7074
5-07+ 9.2041 9.4201 9.4996 9.6319
5-08 9.1334 9.3472 9.4258 9.5568
5-08+ 9.0630 9.2747 9.3525 9.4821
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 429 453 462 476
WAL 9.48650 9.18560 9.08770 8.95020
Mod Durn 4.119 3.999 3.953 3.880
Mod Convexity 0.265 0.249 0.243 0.234
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357 357
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR 75CPR 100CPR
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
5-00+ 10.9663 11.0930 11.0950
5-01 10.8831 11.0081 11.0074
5-01+ 10.8004 10.9236 10.9203
5-02 10.7181 10.8397 10.8336
5-02+ 10.6362 10.7561 10.7474
5-03 10.5548 10.6730 10.6617
5-03+ 10.4737 10.5903 10.5764
5-04 10.3931 10.5080 10.4916
5-04+ 10.3129 10.4262 10.4072
5-05 10.2331 10.3447 10.3232
5-05+ 10.1537 10.2637 10.2397
5-06 10.0747 10.1831 10.1566
5-06+ 9.9961 10.1029 10.0740
5-07 9.9179 10.0232 9.9917
5-07+ 9.8400 9.9438 9.9099
5-08 9.7626 9.8648 9.8285
5-08+ 9.6855 9.7862 9.7476
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 499 510 509
WAL 8.77280 8.68240 8.48530
Mod Durn 3.762 3.687 3.576
Mod Convexity 0.222 0.216 0.207
Principal Window Jun99 to Dec26 Jun99 to Nov23 Jun99 to Sep23
Maturity #mos 331 294 292
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 IO - PREPAYMENTS AFTER YM
- ------------------------------------------------------
CUSIP
Coupon 0.0025
Delay 14
Stated Maturity N/A
Type SEN WAC IO
- ------------------------------------------------------
- ------------------------------------------------------
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM 10CPR YM 15CPR YM 25CPR YM
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
5-00+ 10.2327 10.2001 10.1884 10.1695
5-01 10.1568 10.1240 10.1122 10.0932
5-01+ 10.0813 10.0482 10.0363 10.0173
5-02 10.0061 9.9729 9.9609 9.9417
5-02+ 9.9314 9.8979 9.8858 9.8666
5-03 9.8570 9.8233 9.8112 9.7918
5-03+ 9.7830 9.7490 9.7369 9.7174
5-04 9.7094 9.6752 9.6629 9.6434
5-04+ 9.6361 9.6017 9.5894 9.5697
5-05 9.5632 9.5286 9.5162 9.4964
5-05+ 9.4907 9.4558 9.4434 9.4235
5-06 9.4185 9.3834 9.3709 9.3510
5-06+ 9.3467 9.3114 9.2988 9.2788
5-07 9.2752 9.2397 9.2270 9.2069
5-07+ 9.2041 9.1683 9.1556 9.1354
5-08 9.1334 9.0974 9.0846 9.0642
5-08+ 9.0630 9.0267 9.0139 8.9934
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 429 426 425 423
WAL 9.48650 9.46020 9.45150 9.43810
Mod Durn 4.119 4.106 4.102 4.097
Mod Convexity 0.265 0.262 0.261 0.260
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357 357
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
No prepays During any YM During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM 75CPR YM 100CPR YM
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
5-00+ 10.1330 10.0952 9.8897
5-01 10.0565 10.0187 9.8128
5-01+ 9.9804 9.9425 9.7362
5-02 9.9048 9.8667 9.6600
5-02+ 9.8295 9.7914 9.5843
5-03 9.7546 9.7163 9.5089
5-03+ 9.6800 9.6417 9.4339
5-04 9.6059 9.5674 9.3592
5-04+ 9.5321 9.4936 9.2849
5-05 9.4587 9.4200 9.2110
5-05+ 9.3856 9.3469 9.1375
5-06 9.3129 9.2741 9.0643
5-06+ 9.2406 9.2016 8.9915
5-07 9.1686 9.1295 8.9191
5-07+ 9.0969 9.0578 8.8470
5-08 9.0256 8.9864 8.7752
5-08+ 8.9547 8.9154 8.7038
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 419 415 395
WAL 9.41360 9.38900 9.24420
Mod Durn 4.089 4.084 4.063
Mod Convexity 0.259 0.258 0.255
Principal Window Jun99 to Jul27 Jun99 to Nov23 Jun99 to Sep23
Maturity #mos 338 294 292
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
No prepays During any YM During any YM During any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
<PAGE>
FUNCM 99-C2 IO - PREPAYMENTS AFTER PREPAYMENT PENALTIES
- ------------------------------------------------------
CUSIP
Coupon 0.0025
Delay 14
Stated Maturity N/A
Type SEN WAC IO
- ------------------------------------------------------
- ------------------------------------------------------
Face $1,181,529,533.00
Original Balance $1,181,529,533.00
Current Balance $1,181,529,533.00
Factor 1
- ------------------------------------------------------
- ------------------------------------------------------
Settle at Pricing
Accrual begins 5/1/99
Factor Date N/A
- ------------------------------------------------------
YIELD CURVE: Spread off interpolated node
3MO=4.776, 6MO=4.776, 1YR=4.776, 2YR=5.071, 3YR=5.12133333333, 5YR=5.222,
10YR=5.357, 30YR=5.677
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
PRICE 0CPR YM PT 10CPR YM PT 15CPR YM PT 25CPR YM PT
Yield Yield Yield Yield
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
5-00+ 10.2327 10.2272 10.2242 10.2179
5-01 10.1568 10.1512 10.1483 10.1420
5-01+ 10.0813 10.0757 10.0727 10.0664
5-02 10.0061 10.0005 9.9976 9.9912
5-02+ 9.9314 9.9258 9.9228 9.9164
5-03 9.8570 9.8514 9.8484 9.8420
5-03+ 9.7830 9.7774 9.7744 9.7680
5-04 9.7094 9.7037 9.7007 9.6944
5-04+ 9.6361 9.6304 9.6275 9.6211
5-05 9.5632 9.5575 9.5545 9.5481
5-05+ 9.4907 9.4850 9.4820 9.4756
5-06 9.4185 9.4128 9.4098 9.4034
5-06+ 9.3467 9.3410 9.3380 9.3316
5-07 9.2752 9.2695 9.2665 9.2601
5-07+ 9.2041 9.1984 9.1954 9.1890
5-08 9.1334 9.1277 9.1246 9.1182
5-08+ 9.0630 9.0572 9.0542 9.0477
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
Spread @ Center Price 429 429 428 428
WAL 9.48650 9.48280 9.48080 9.47670
Mod Durn 4.119 4.118 4.118 4.117
Mod Convexity 0.265 0.265 0.265 0.265
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357 357
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 10 CPR At 15 CPR At 25 CPR
During any pts, During any pts, During any pts, During any pts,
No prepays any YM any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty Include penalty
Extension, if balloon None None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- ------------------- --------------------
(table continued)
- ------------------------------------- -------------------- -------------------- -------------------
PRICE 50CPR YM PT 75CPR YM PT 100CPR YM PT
Yield Yield Yield
- ------------------------------------- -------------------- -------------------- -------------------
5-00+ 10.1989 10.1708 9.9779
5-01 10.1230 10.0948 9.9015
5-01+ 10.0474 10.0192 9.8256
5-02 9.9722 9.9439 9.7500
5-02+ 9.8973 9.8690 9.6748
5-03 9.8229 9.7946 9.6000
5-03+ 9.7488 9.7204 9.5256
5-04 9.6752 9.6467 9.4516
5-04+ 9.6018 9.5733 9.3779
5-05 9.5289 9.5004 9.3046
5-05+ 9.4563 9.4277 9.2317
5-06 9.3841 9.3555 9.1591
5-06+ 9.3122 9.2835 9.0869
5-07 9.2407 9.2120 9.0151
5-07+ 9.1695 9.1408 8.9436
5-08 9.0987 9.0699 8.8724
5-08+ 9.0283 8.9994 8.8016
- ------------------------------------- -------------------- -------------------- -------------------
- ------------------------------------- -------------------- -------------------- -------------------
Spread @ Center Price 426 423 404
WAL 9.46410 9.44530 9.30640
Mod Durn 4.116 4.113 4.096
Mod Convexity 0.265 0.265 0.263
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357 357
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%)
Prepay At 50 CPR At 75 CPR At 100 CPR
During any pts, During any pts, During any pts,
No prepays any YM any YM any YM
Lockout and penalties Include penalty Include penalty Include penalty
Extension, if balloon None None None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR
Loss Severity 0 0 0
Servicer Advances 100% of P & I 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos 12 mos
- ------------------------------------- -------------------- -------------------- -------------------
Investors should read the Underwriters' Statement which accompanies these
Computational Materials.
Prospective investors are advised to carefully read, and should rely solely on,
the final prospectus and prospectus supplement (the "Final Prospectus") relating
to the certificates referred to herein (the "Offered Certificates") in making
their investment decision. These Computational Materials have been based upon
the assumptions described above, which most likely will not represent the actual
experience of the Mortgage Pool in the future. No representation is made herein
as to the actual rate or timing of principal payments or prepayments on any of
the underlying Mortgage Loans in the Mortgage Pool or the actual performance
characteristics of the Offered Certificates. Prior to making any investment
decision, a prospective investor should receive and fully review the Final
Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION
OF AN OFFER TO BUY ANY OFFERED CERTIFICATES.
</TABLE>
