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 10, 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)
ITEM 5. Other Events
Item 5. Other Events
Filing of Computational Materials.
In connection with the proposed offering of First Union Commercial
Mortgage Securities, Inc. Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 1999-C2, First Union Capital Markets Corp.
("First Union"), as underwriter, has prepared certain materials (the "First
Union Computational Materials") for distribution to its potential investors.
Although First Union Commercial Mortgage Securities, Inc. (the "Company")
provided the First Union with certain information regarding the
characteristics of the mortgage loans in the related portfolio, it did not
participate in the preparation of the Computational Materials.
For purposes of this Form 8-K, "Computational Materials" shall mean
computer generated tables and/or charts displaying, with respect to any Class
or Classes of Certificates, any of the following: yield; average life;
duration; expected maturity; interest rate sensitivity; loss sensitivity; cash
flow characteristics; background information regarding the Mortgage Loans; the
proposed structure; decrement tables; or similar information (tabular or
otherwise) of a statistical, mathematical, tabular or computational nature.
The First Union Computational Materials are listed as Exhibit 99.1 hereto.
<PAGE>
ITEM 7. Financial Statements, Pro Forma Financial Information and Exhibits
(a) Not applicable.
(b) Not applicable.
(c) Exhibits
Item 601(a)
of Regulation
S-K Exhibit No. Description
99.1 First Union Computational Materials.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
FIRST UNION COMMERCIAL
MORTGAGE SECURITIES, INC.
By: /s/ Craig Lieberman
------------------------------
Name: Craig Lieberman
Title: Vice President
Dated: May 20, 1999
Exhibit Index
Exhibit Page
99.1 First Union Computational Materials 6
EXHIBIT 99.1
FIRST UNION COMPUTATIONAL MATERIALS
for
FIRST UNION COMMERCIAL MORTGAGE SECURITIES, INC.
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.
FUNCM99C2_1, Class A2--Price/Yield
<TABLE>
<CAPTION>
CUSIP Face $673,765,492.00 Settle at Pricing
Coupon 6.645 Original Balance $673,765,492.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,765,492.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX
YIELD CURVE: Spread off interpolated node
3MO=4.761, 6MO=4.761, 1YR=4.761, 2YR=5.143, 3YR=5.212, 5YR=5.40, 10YR=5.515, 30YR=5.803
0CPR; Ext0mo
100% 0% rules;
0CDR,30%
adv100% lag12;
bp
Price Yield
- ------------------------------------------------
<S> <C>
100.6475 6.6067
100.71 6.5977
100.7725 6.5887
100.835 6.5797
100.8975 6.5708
100.96 6.5618
101.0225 6.5529
101.085 6.5439
101.1475 6.5350
101.21 6.5261
101.2725 6.5172
101.335 6.5083
101.3975 6.4994
101.46 6.4905
101.5225 6.4816
101.585 6.4727
101.6475 6.4638
- --------------------------------------------------
Spread @ Center Price 103
WAL 9.57596
Mod Durn 6.892
Mod Convexity 0.575
rincipal Window Jun08 to Apr09
Maturity #mos 119
Total Collat Loss 0.00 (0.00%)
Prepay At 0 CPR
No prepays Include penalty
Lockout and penalties
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 Calls ASAP (N)
</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 I0--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/l/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC 10
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>
OCPR; EXT0MO OCPR; EXTOMO OCPR; EXT0MO OCPR; EXT0MO
100% 0% RULES; 100% 0% RULES; 100% 0% RULES; 100% 0% RULES;
OCDR, 0% 1CDR,25% 2CDR,25% 3CDR,25%
ADV100% LAG12; ADV100% LAG12; ADV100% LAG12; ADV100% LAG12;
PRICE BP BP BP BP
Yield
<S> <C> <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 6.6036 7.4816 6+3464
5-04+ 9.6361 8.6304 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 8.8665
Mod Durn 4.119 4.122 4.120 4.116
Mod Convexity 0.265 0.267 0.267 0.267
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%) 628,553.98 (4.00%) 7,226,544.33 (4.00%) 962,993.52 (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 0 CDR At 0 CDR At 0 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
</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 I0--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/l/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC 10
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>
OCPR; EXT0MO 5OCPR; EXTOMO 10OCPR YM; EXT0MO 100CPR; EXT0MO 100CPR; EXT0MO
100% 0% RULES; 100% 0% RULES; 100% 0% RULES; 100% 0% RULES; 100% 0% RULES;
OCDR,0% 0CDR, 0% 0CDR, 0% 0CDR, 0% 0CDR, 0%
ADV1OO% LAG12; ADV1OO% LAG12; ADV1OO% LAG12; ADV1OO% LAG12; ADV1OO% LAG12;
PRICE OBP OBP OBP OBP 200BP
Yield Yield Yield
<S> <C> <C> <C> <C> <C> <C>
5-00+ 10.2327 10.1330 9.8897 11.0950 8.4535
5-01 10.1568 10.0565 9.8128 11.0074 8.3756
5-01- 10.0813 9.9804 9.7362 10.9203 8+2982
5-02 10.0061 9.9048 9.6600 10.8336 8+2212
5-02+ 9.9314 9.8295 9.5843 10.7474 8.1446
5-03 9.8570 9.7546 9.5089 10.6617 8.0684
5-03+ 9.7830 9.6800 9.4339 10.5764 7.9925
5-04 9.7094 9.6059 9.3592 10.4916 7.9171
5-04+ 9.6361 9.5321 9.2849 10.4072 7.8420
5-05 9.5632 9.4587 9.2110 10.3232 7.7673
5-05+ 9.4907 9,3856 9.1375 10.2397 7.6930
5-06 9.4185 9.3129 9.0643 10.1566 7.6190
5-06+ 9.3467 9+2406 8.9915 10.0740 7.5455
5-07 9.2752 9.1686 8.9191 9.9917 7+4722
5-07+ 9.2041 9.0969 8.8470 9.9099 7.3994
5-08 9.1334 9.0256 8.7752 9.8285 7.3269
5-08+ 9.0630 8.9547 8.7038 9.7476 7.2548
Spread @ Center Price 429 419 395 509 53
WAL 9.48647 9.41364 9.24419 8.48529 8.48529
Mod Durn 4.119 4.089 4.063 3.576 4.019
Mod Convexity 0.265 0.259 0.255 0.207 0.254
Principal Window Jun99 to Feb29 Jun99 to Jul27 Jun99 to Sep23 Jun99 to Sep23 Jun99 to Sep23
Maturity #mos 357 338 292 292 292
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 50 CPR At 100 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 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 0 mos 0 mos
Optional Redemption
Shock(bp) 0 0 0 200 0
</TABLE>
TABLE CONT.
<TABLE>
<CAPTION>
OCPR; EXT0MO OCPR; EXTOMO OCPR; EXT0MO OCPR; EXT0MO
100% 0% RULES; 100% 0% RULES; 100% 0% RULES; 100% 0% RULES;
OCDR,0% 1CDR,25% 2CDR,25% 3CDR,25%
ADV1OO% LAG12; ADV1OO% LAG12; ADV1OO% LAG12; ADV1OO% LAG12;
PRICE OBP OBP OBP OBP
<S> <C> <C> <C> <C> <C>
5-00+ 8.8844 8.3354 7.5314 10.1330
5-01 8.8080 8.2595 7.4565 10,0565
5-01- 8.7320 8.1840 7.3819 9.9804
5-02 8.6564 8.1089 7.3078 9.9048
5-02+ 8~5812 8~0342 7.2340 9+8295
5-03 8.5064 7.9599 7.1605 9+7546
5-03+ 8.4319 7.8859 7,0875 9.6800
5-04 8.3579 7.8123 7.0148 9.6059
5-04+ 8.2842 7.7391 6.9425 9.6321
5-05 8.2108 7.6662 6~8705 9.4587
5-05+ 8.1379 7.5937 6+7989 9.3856
5-06 8.0653 7.5216 6.7277 9.3129
5-06+ 7.9930 7.4498 6.6568 9.2406
5-07 7.9211 7~3784 6.5862 9.1686
5-07+ 7.8496 7.3073 6.5160 9.0969
5-08 7.7784 7.2366 6.4462 9+0256
5-08+ 7.7076 7.1662 6.3767 8,9547
Spread @ Center Price 296 242 163 419
WAL 8.95024 8.77285 8.48529 9.41364
Mod Durn 4.094 4.121 4.172 4.089
Mod Convexity 0.261 O.265 0.271 0.259
Principal Window Jun99 to Feb29 Jun99 to Dec26 Jun99 to Sep23 Jun99 to Jul27
Maturity #mos 357 331 292 338
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 0000 (0+00%)
Prepay At 25 CPR At 50 CPR At 100 CPR At 50 CPR
During pts>2,
No prepays any YM
Lockout and penalties Exclude penalty Exclude 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
Optional Redemption
Shock (bp) 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 Matedals 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 I0--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/l/99
Delay 14 Current Balance $1,181,529,533.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC 10
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>
OCPR; EXT0MO OCPR; EXT0MO
100% 0% RULES; 100% 0% RULES;
1CDR,25% 1CDR,35%
ADV100% LAG12, ADV100% LAG12;
PRICE BP BP
Yield
5-00+ 9.1267 9.0393
5-01 9.0508 8.9633
5-01+ 8.9753 8.8877
5-02 8.9002 8.8125
5-02+ 8.8255 8.7377
5-03 8.7512 8.6633
5-03+ 8.6772 8+5892
5-04 8+6036 8.5155
5-04+ 8.5304 8.4422
5-05 8.4576 8.3692
5-05+ 8.3851 8.2966
5-06 8.3130 8.2244
5-06+ 8.2413 8.1526
5-07 8.1699 8.0811
5-07+ 8.0988 8.0099
5-08 8.0281 7.9391
5-08+ 7.9578 7.8686
Spread @ Center Price 320 311
WAL 9.09821 9.09821
Mod Durn 4.122 4.116
Mod Convexity 0.267 0.266
Principal Window Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357
Total Collat Loss ,628,553.98 (2.08) ,478,782.06 (2.92%)
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 1 CDR AT 1 CDR
Loss Severity 0.25 0.35
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 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 ICERTIFICATES.
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>
FUNCM99C2_RED2, Class IO--Price/Yield
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.005 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=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 0CPR; Ext0mo 0CPR; Ext0mo 0CPR; Ext0mo
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
0CDR,30% 1CDR,30% 2CDR,30% 2CDR,30%
adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
obp obp obp obp
Price Yield
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
5-12+ 9.6771 8.5457 7.3883 6.1782
5-13 9.6071 8.4758 7.3183 6.1079
5-13+ 9.5376 8.4062 7.2486 6.0379
5-14 9.4683 8.3370 7.1793 5.9683
5-14+ 9.3994 8.2680 7.1103 5.8990
5-15 9.3308 8.1994 7.0416 5.8300
5-15+ 9.2625 8.1312 6.9732 5.7614
5-16 9.1945 8.0632 6.9051 5.6930
5-16+ 9.1269 7.9956 6.8374 5.6250
5-17 9.0595 7.9282 6.7700 5.5573
5-17+ 8.9925 7.8612 6.7029 5.4900
5-18 8.9258 7.7945 6.6361 5.4229
5-18+ 8.8594 7.7281 6.5696 5.3562
5-19 8.7933 7.6621 6.5035 5.2897
5-19+ 8.7275 7.5963 6.4376 5.2236
5-20 8.6620 7.5308 6.3720 5.1578
5-20+ 8.5968 7.4656 6.3068 5.0923
- --------------------------------------------------------------------------------------------------------------------------------
Spread @ Center Price 382 270 154 34
WAL 9.48647 9.09821 8.73210 8.38665
Mod Durn 4.158 4.158 4.153 4.136
Mod Convexity 0.269 0.270 0.270 0.268
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%) 29,553,816.42 (2.50%) 56,671,098.43 (4.80%) 81,554,640.15 (6.90%)
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 30% 30% 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
</TABLE>
- -------------------------------------------------------------------------------
0CPR; Ext0mo 0CPR; Ext0mo
100% 0% rules; 100% 0% rules;
4CDR,30% 5CDR,30%
adv100% lag12; adv100% lag12;
obp obp
Price
- -------------------------------------------------------------------------------
5-12+ 4.8552 3.3440
5-13 4.7841 3.2706
5-13+ 4.7133 3.1975
5-14 4.6428 3.1248
5-14+ 4.5727 3.0524
5-15 4.5029 2.9803
5-15+ 4.4334 2.9086
5-16 4.3642 2.8371
5-16+ 4.2954 2.7660
5-17 4.2269 2.6952
5-17+ 4.1587 2.6248
5-18 4.0908 2.5546
5-18+ 4.0233 2.4848
5-19 3.9560 2.4153
5-19+ 3.8891 2.3460
5-20 3.8224 2.2771
5-20+ 3.7561 2.2085
- --------------------------------------------------------------------------------
Spread @ Center Price -98 -251
WAL 8.06048 7.75231
Mod Durn 4.086 3.955
Mod Convexity 0.260 0.233
Principal Window Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357
Total Collat Loss 104,389,019.93 (8.84%) 125,342,489.09 (10.6)
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 4 CDR At 5 CDR
Loss Severity 30% 30%
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N)
Shock (bp) 0 0
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
0CPR; Ext0mo 0CPR; Ext0mo 0CPR; Ext0mo 0CPR; Ext0mo
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
0CDR,30% 0for24, 1CDR, 30% 0 for 24, 2CDR, 30% 0 for 24, 3CDR,30%
adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
obp obp obp obp
Price Yield
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
5-12+ 9.6771 9.0351 8.3757 7.7151
5-13 9.6071 8.9648 8.3048 7.6436
5-13+ 9.5376 8.8947 8.2342 7.5724
5-14 9.4683 8.8250 8.1640 7.5016
5-14+ 9.3994 8.7556 8.0941 7.4311
5-15 9.3308 8.6866 8.0245 7.3609
5-15+ 9.2625 8.6179 7.9552 7.2911
5-16 9.1945 8.5495 7.8863 7.2216
5-16+ 9.1269 8.4814 7.8177 7.1524
5-17 9.0595 8.4136 7.7494 7.0836
5-17+ 8.9925 8.3462 7.6814 7.0150
5-18 8.9258 8.2790 7.6138 6.9468
5-18+ 8.8594 8.2122 7.5464 6.8789
5-19 8.7933 8.1457 7.4794 6.8113
5-19+ 8.7275 8.0795 7.4127 6.7441
5-20 8.6620 8.0136 7.3463 6.6771
5-20+ 8.5968 7.9479 7.2801 6.6104
- --------------------------------------------------------------------------------------------------------------------------------
Spread @ Center Price 382 318 252 186
WAL 9.48647 9.24234 9.00983 8.78825
Mod Durn 4.158 4.131 4.099 4.066
Mod Convexity 0.269 0.266 0.262 0.257
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%) 23,035,031.75 (1.95%) 44,550,516.42 (3.77%) 64,652,819.92 (5.47%)
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 0 for 24 1 CDR At 0 for 24 2 CDR At 0 for 24 3 CDR
Loss Severity 0.3 0.3 0.3 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
</TABLE>
- --------------------------------------------------------------------------------
0CPR; Ext0mo 0CPR; Ext0mo
100% 0% rules; 100% 0% rules;
0 for 24, 4CDR,30% 0 for 24, 5CDR,30%
adv100% lag12; adv100% lag12;
obp obp
Price Yield
- --------------------------------------------------------------------------------
5-12+ 7.0193 6.2772
5-13 6.9470 6.2039
5-13+ 6.8751 6.1310
5-14 6.8035 6.0584
5-14+ 6.7323 5.9862
5-15 6.6614 5.9143
5-15+ 6.5908 5.8427
5-16 6.5206 5.7715
5-16+ 6.4507 5.7006
5-17 6.3811 5.6300
5-17+ 6.3119 5.5598
5-18 6.2429 5.4899
5-18+ 6.1743 5.4203
5-19 6.1060 5.3510
5-19+ 6.0380 5.2820
5-20 5.9704 5.2134
5-20+ 5.9030 5.1451
- --------------------------------------------------------------------------------
Spread @ Center Price 116 42
WAL 8.57692 8.37523
Mod Durn 4.023 3.967
Mod Convexity 0.252 0.243
Principal Window Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357
Total Collat Loss 83,439,431.36 (7.06%) 100,999,880.76 (8.55%)
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 30% 30%
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N)
Shock (bp) 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.
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>
CUSIP Face $203,500,000.00 Settle at Pricing
Coupon 6.363 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
YIELD CURVE: Spread off interpolated node
3MO=4.761, 6MO=4.761, 1YR=4.761, 2YR=5.143, 3YR=5.212, 5YR=5.35, 10YR=5.465, 30YR=5.803
- ---------------------------------------------------------------------------------------------------------------------------------
0CPR; Ext0mo 10CPR; Ext0mo 15CPR; Ext0mo 25CPR; Ext0mo 50CPR; Ext0mo
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
bp bp bp bp bp
Price Yield
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
100.371 6.3042 6.5592 6.6609 6.8388 7.1704
100.4335 6.2898 6.5423 6.6431 6.8195 7.1481
100.496 6.2753 6.5254 6.6253 6.8002 7.1257
100.5585 6.2609 6.5086 6.6076 6.7809 7.1034
100.621 6.2465 6.4917 6.5898 6.7616 7.0811
100.6835 6.2321 6.4749 6.5721 6.7424 7.0589
100.746 6.2177 6.4581 6.5543 6.7232 7.0366
100.8085 6.2034 6.4414 6.5366 6.7039 7.0144
100.871 6.1890 6.4246 6.5189 6.6847 6.9922
100.9335 6.1747 6.4078 6.5013 6.6655 6.9700
100.996 6.1603 6.3911 6.4836 6.6464 6.9478
101.0585 6.1460 6.3744 6.4660 6.6272 6.9256
101.121 6.1317 6.3576 6.4483 6.6081 6.9035
101.1835 6.1174 6.3410 6.4307 6.5890 6.8814
101.246 6.1032 6.3243 6.4131 6.5699 6.8593
101.3085 6.0889 6.3076 6.3955 6.5508 6.8372
101.371 6.0746 6.2910 6.3780 6.5317 6.8152
- ---------------------------------------------------------------------------------------------------------------------------------
Spread @ Center Price 83 111 122 142 176
WAL 5.38446 4.46937 4.19966 3.82370 3.24375
Mod Durn 4.301 3.682 3.490 3.215 2.780
Mod Convexity 0.252 0.179 0.160 0.134 0.098
Principal Window Jun99 to Jun08 Jun99 to Feb07 Jun99 to Jul06 Jun99 to Dec05 Jun99 to Apr05
Maturity #mos 109 93 86 79 71
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 10 CPR At 15 CPR At 25 CPR At 50 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 0.3 0.3 0.3 0.3 0.3
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
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- ------------------------------------------------------------------
75CPR; Ext0mo 100CPR; Ext0mo
100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12;
bp bp
Price
- ------------------------------------------------------------------
100.371 7.3950 7.6889
100.4335 7.3704 7.6605
100.496 7.3457 7.6323
100.5585 7.3211 7.6040
100.621 7.2965 7.5758
100.6835 7.2720 7.5476
100.746 7.2474 7.5194
100.8085 7.2229 7.4912
100.871 7.1984 7.4631
100.9335 7.1739 7.4350
100.996 7.1495 7.4069
101.0585 7.1251 7.3789
101.121 7.1006 7.3508
101.1835 7.0763 7.3228
101.246 7.0519 7.2949
101.3085 7.0275 7.2669
101.371 7.0032 7.2390
- ------------------------------------------------------------------
Spread @ Center Price 199 228
WAL 2.91373 2.52471
Mod Durn 2.520 2.195
Mod Convexity 0.080 0.062
Principal Window Jun99 to Oct04 Jun99 to Sep04
Maturity #mos 65 64
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%)
Prepay At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty
Extension, if balloon None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR
Loss Severity 0.3 0.3
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
- ------------------------------------------------------------------
<TABLE>
<CAPTION>
FUNCM99C2_1, Class A2--Price/Yield
CUSIP Face $673,765,492.00 Settle at Pricing
Coupon 6.645 Original Balance $673,765,492.00 Accrual begins 5/1/99
Delay 14 Current Balance $673,765,492.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN FIX
YIELD CURVE: Spread off interpolated node
3MO=4.761, 6MO=4.761, 1YR=4.761, 2YR=5.143, 3YR=5.212, 5YR=5.35, 10YR=5.465, 30YR=5.803
- ---------------------------------------------------------------------------------------------------------------------------------
0CPR; Ext0mo 10CPR; Ext0mo 15CPR; Ext0mo 25CPR; Ext0mo 50CPR; Ext0mo
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
bp bp bp bp bp
Price Yield
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
100.9983 6.5563 6.5596 6.5619 6.5630 6.5586
101.0608 6.5474 6.5506 6.5528 6.5539 6.5494
101.1233 6.5385 6.5416 6.5438 6.5448 6.5402
101.1858 6.5295 6.5327 6.5348 6.5357 6.5311
101.2483 6.5206 6.5237 6.5257 6.5266 6.5219
101.3108 6.5117 6.5147 6.5167 6.5175 6.5127
101.3733 6.5028 6.5057 6.5077 6.5084 6.5036
101.4358 6.4939 6.4968 6.4987 6.4994 6.4944
101.4983 6.4850 6.4878 6.4898 6.4903 6.4853
101.5608 6.4761 6.4789 6.4808 6.4813 6.4762
101.6233 6.4672 6.4700 6.4718 6.4722 6.4670
101.6858 6.4584 6.4610 6.4628 6.4632 6.4579
101.7483 6.4495 6.4521 6.4539 6.4542 6.4488
101.8108 6.4407 6.4432 6.4449 6.4451 6.4397
101.8733 6.4318 6.4343 6.4360 6.4361 6.4306
101.9358 6.4230 6.4254 6.4270 6.4271 6.4215
101.9983 6.4141 6.4165 6.4181 6.4181 6.4124
- ---------------------------------------------------------------------------------------------------------------------------------
Spread @ Center Price 103 103 104 104 104
WAL 9.57596 9.49273 9.43999 9.35039 9.24363
Mod Durn 6.899 6.854 6.825 6.774 6.713
Mod Convexity 0.576 0.568 0.564 0.556 0.546
Principal Window Jun08 to Apr09 Feb07 to Apr09 Jul06 to Apr09 Dec05 to Apr09 Apr05 to Mar09
Maturity #mos 119 119 119 119 118
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 10 CPR At 15 CPR At 25 CPR At 50 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 0.3 0.3 0.3 0.3 0.3
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
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- ------------------------------------------------------------------
75CPR; Ext0mo 100CPR; Ext0mo
100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12;
bp bp
Price
- ------------------------------------------------------------------
100.9983 6.5543 6.5509
101.0608 6.5450 6.5415
101.1233 6.5358 6.5322
101.1858 6.5266 6.5229
101.2483 6.5174 6.5135
101.3108 6.5082 6.5042
101.3733 6.4990 6.4949
101.4358 6.4899 6.4856
101.4983 6.4807 6.4763
101.5608 6.4715 6.4670
101.6233 6.4624 6.4578
101.6858 6.4532 6.4485
101.7483 6.4441 6.4392
101.8108 6.4349 6.4300
101.8733 6.4258 6.4207
101.9358 6.4167 6.4115
101.9983 6.4076 6.4022
- ------------------------------------------------------------------
Spread @ Center Price 103 103
WAL 9.19825 9.03336
Mod Durn 6.688 6.601
Mod Convexity 0.542 0.527
Principal Window Oct04 to Mar09 Sep04 to Jan09
Maturity #mos 118 116
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%)
Prepay At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty
Extension, if balloon None None
Pay Exten Princ
Default At 0 CDR At 0 CDR
Loss Severity 0.3 0.3
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
- ------------------------------------------------------------------
<TABLE>
<CAPTION>
FUNCM99C2_1, Class B--Price/Yield
CUSIP Face $47,260,093.00 Settle at Pricing
Coupon 6.795 Original Balance $47,260,093.00 Accrual begins 5/1/99
Delay 14 Current Balance $47,260,093.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN FIX
YIELD CURVE: Spread off interpolated node
3MO=4.761, 6MO=4.761, 1YR=4.761, 2YR=5.143, 3YR=5.212, 5YR=5.35, 10YR=5.465, 30YR=5.803
- ---------------------------------------------------------------------------------------------------------------------------------
0CPR; Ext0mo 10CPR; Ext0mo 15CPR; Ext0mo 25CPR; Ext0mo 50CPR; Ext0mo
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
bp bp bp bp bp
Price Yield
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
100.9944 6.7132 6.7135 6.7135 6.7135 6.7132
101.0569 6.7044 6.7047 6.7048 6.7047 6.7044
101.1194 6.6956 6.6960 6.6960 6.6959 6.6956
101.1819 6.6868 6.6872 6.6872 6.6871 6.6868
101.2444 6.6780 6.6784 6.6784 6.6783 6.6780
101.3069 6.6693 6.6696 6.6696 6.6695 6.6692
101.3694 6.6605 6.6609 6.6609 6.6608 6.6604
101.4319 6.6518 6.6521 6.6521 6.6520 6.6517
101.4944 6.6430 6.6434 6.6434 6.6433 6.6429
101.5569 6.6343 6.6346 6.6346 6.6345 6.6342
101.6194 6.6255 6.6259 6.6259 6.6258 6.6254
101.6819 6.6168 6.6171 6.6172 6.6171 6.6167
101.7444 6.6081 6.6084 6.6084 6.6083 6.6080
101.8069 6.5994 6.5997 6.5997 6.5996 6.5992
101.8694 6.5907 6.5910 6.5910 6.5909 6.5905
101.9319 6.5820 6.5823 6.5823 6.5822 6.5818
101.9944 6.5733 6.5736 6.5736 6.5735 6.5731
- ---------------------------------------------------------------------------------------------------------------------------------
Spread @ Center Price 118 118 118 118 118
WAL 9.89167 9.89167 9.89167 9.89167 9.88045
Mod Durn 7.011 7.011 7.011 7.011 7.005
Mod Convexity 0.600 0.600 0.600 0.600 0.599
Principal Window Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Mar09 to Apr09
Maturity #mos 119 119 119 119 119
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 10 CPR At 15 CPR At 25 CPR At 50 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 0.3 0.3 0.3 0.3 0.3
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
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- -----------------------------------------------------------------
75CPR; Ext0mo 100CPR; Ext0mo
100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12;
bp bp
Price
- -----------------------------------------------------------------
100.9944 6.7126 6.7108
101.0569 6.7038 6.7019
101.1194 6.6949 6.6930
101.1819 6.6861 6.6841
101.2444 6.6773 6.6752
101.3069 6.6685 6.6663
101.3694 6.6597 6.6575
101.4319 6.6509 6.6486
101.4944 6.6421 6.6397
101.5569 6.6334 6.6309
101.6194 6.6246 6.6220
101.6819 6.6158 6.6132
101.7444 6.6071 6.6043
101.8069 6.5983 6.5955
101.8694 6.5896 6.5867
101.9319 6.5808 6.5779
101.9944 6.5721 6.5691
- -----------------------------------------------------------------
Spread @ Center Price 118 118
WAL 9.83965 9.70986
Mod Durn 6.985 6.919
Mod Convexity 0.595 0.583
Principal Window Mar09 to Apr09 Jan09 to Feb09
Maturity #mos 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%)
Prepay At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty
Extension, if balloon None None
Pay Exten Princ
Default At 0 CDR At 0 CDR
Loss Severity 0.3 0.3
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
- -----------------------------------------------------------------
<TABLE>
<CAPTION>
FUNCM99C2_1, Class C--Price/Yield
CUSIP Face $62,028,874.00 Settle at Pricing
Coupon 6.944 Original Balance $62,028,874.00 Accrual begins 5/1/99
Delay 14 Current Balance $62,028,874.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN FIX
YIELD CURVE: Spread off interpolated node
3MO=4.761, 6MO=4.761, 1YR=4.761, 2YR=5.143, 3YR=5.212, 5YR=5.35, 10YR=5.465, 30YR=5.803
- ---------------------------------------------------------------------------------------------------------------------------------
0CPR; Ext0mo 10CPR; Ext0mo 15CPR; Ext0mo 25CPR; Ext0mo 50CPR; Ext0mo
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
bp bp bp bp bp
Price Yield
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
100.9998 6.8637 6.8640 6.8640 6.8639 6.8637
101.0623 6.8548 6.8552 6.8552 6.8551 6.8549
101.1248 6.8460 6.8463 6.8463 6.8462 6.8460
101.1873 6.8371 6.8375 6.8375 6.8374 6.8372
101.2498 6.8283 6.8286 6.8286 6.8285 6.8284
101.3123 6.8195 6.8198 6.8198 6.8197 6.8195
101.3748 6.8106 6.8110 6.8110 6.8109 6.8107
101.4373 6.8018 6.8021 6.8022 6.8021 6.8019
101.4998 6.7930 6.7933 6.7933 6.7932 6.7931
101.5623 6.7842 6.7845 6.7845 6.7844 6.7843
101.6248 6.7754 6.7757 6.7757 6.7756 6.7755
101.6873 6.7666 6.7669 6.7670 6.7669 6.7667
101.7498 6.7578 6.7582 6.7582 6.7581 6.7579
101.8123 6.7491 6.7494 6.7494 6.7493 6.7491
101.8748 6.7403 6.7406 6.7406 6.7405 6.7403
101.9373 6.7315 6.7319 6.7319 6.7318 6.7316
101.9998 6.7228 6.7231 6.7231 6.7230 6.7228
- ---------------------------------------------------------------------------------------------------------------------------------
Spread @ Center Price 133 133 133 133 133
WAL 9.89448 9.89167 9.89167 9.89167 9.89167
Mod Durn 6.963 6.961 6.961 6.961 6.961
Mod Convexity 0.594 0.594 0.594 0.594 0.594
Principal Window Apr09 to May09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 120 119 119 119 119
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 10 CPR At 15 CPR At 25 CPR At 50 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 0.3 0.3 0.3 0.3 0.3
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
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- -----------------------------------------------------------------
75CPR; Ext0mo 100CPR; Ext0mo
100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12;
bp bp
Price
- -----------------------------------------------------------------
100.9998 6.8637 6.8615
101.0623 6.8548 6.8525
101.1248 6.8460 6.8435
101.1873 6.8371 6.8346
101.2498 6.8283 6.8256
101.3123 6.8195 6.8167
101.3748 6.8106 6.8078
101.4373 6.8018 6.7989
101.4998 6.7930 6.7899
101.5623 6.7842 6.7810
101.6248 6.7754 6.7721
101.6873 6.7666 6.7632
101.7498 6.7578 6.7543
101.8123 6.7491 6.7455
101.8748 6.7403 6.7366
101.9373 6.7315 6.7277
101.9998 6.7228 6.7189
- -----------------------------------------------------------------
Spread @ Center Price 133 133
WAL 9.89167 9.72500
Mod Durn 6.961 6.879
Mod Convexity 0.594 0.578
Principal Window Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%)
Prepay At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty
Extension, if balloon None None
Pay Exten Princ
Default At 0 CDR At 0 CDR
Loss Severity 0.3 0.3
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
- -----------------------------------------------------------------
<TABLE>
<CAPTION>
FUNCM99C2_1, Class D--Price/Yield
CUSIP Face $14,768,779.00 Settle at Pricing
Coupon 7.062 Original Balance $14,768,779.00 Accrual begins 5/1/99
Delay 14 Current Balance $14,768,779.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN FIX
YIELD CURVE: Spread off interpolated node
3MO=4.761, 6MO=4.761, 1YR=4.761, 2YR=5.143, 3YR=5.212, 5YR=5.35, 10YR=5.465, 30YR=5.803
- ---------------------------------------------------------------------------------------------------------------------------------
0CPR; Ext0mo 10CPR; Ext0mo 15CPR; Ext0mo 25CPR; Ext0mo 50CPR; Ext0mo
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
bp bp bp bp bp
Price Yield
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
100.9986 6.9847 6.9840 6.9840 6.9839 6.9837
101.0611 6.9758 6.9751 6.9751 6.9750 6.9748
101.1236 6.9670 6.9662 6.9662 6.9661 6.9659
101.1861 6.9581 6.9573 6.9573 6.9572 6.9570
101.2486 6.9493 6.9484 6.9484 6.9483 6.9481
101.3111 6.9404 6.9395 6.9395 6.9394 6.9392
101.3736 6.9316 6.9307 6.9307 6.9306 6.9304
101.4361 6.9228 6.9218 6.9218 6.9217 6.9215
101.4986 6.9140 6.9129 6.9129 6.9128 6.9126
101.5611 6.9052 6.9041 6.9041 6.9040 6.9038
101.6236 6.8964 6.8952 6.8952 6.8951 6.8949
101.6861 6.8876 6.8864 6.8864 6.8863 6.8861
101.7486 6.8788 6.8776 6.8776 6.8775 6.8773
101.8111 6.8701 6.8687 6.8687 6.8686 6.8685
101.8736 6.8613 6.8599 6.8599 6.8598 6.8596
101.9361 6.8525 6.8511 6.8511 6.8510 6.8508
101.9986 6.8438 6.8423 6.8423 6.8422 6.8420
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
Spread @ Center Price 145 145 145 145 145
WAL 9.97500 9.89167 9.89167 9.89167 9.89167
Mod Durn 6.963 6.922 6.922 6.922 6.922
Mod Convexity 0.597 0.589 0.589 0.589 0.589
Principal Window May09 to May09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09 Apr09 to Apr09
Maturity #mos 120 119 119 119 119
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 10 CPR At 15 CPR At 25 CPR At 50 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 0.3 0.3 0.3 0.3 0.3
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
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- -----------------------------------------------------------------
75CPR; Ext0mo 100CPR; Ext0mo
100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12;
bp bp
Price
- -----------------------------------------------------------------
100.9986 6.9837 6.9814
101.0611 6.9747 6.9724
101.1236 6.9658 6.9634
101.1861 6.9569 6.9544
101.2486 6.9481 6.9454
101.3111 6.9392 6.9364
101.3736 6.9303 6.9274
101.4361 6.9214 6.9185
101.4986 6.9126 6.9095
101.5611 6.9037 6.9006
101.6236 6.8949 6.8916
101.6861 6.8860 6.8827
101.7486 6.8772 6.8737
101.8111 6.8684 6.8648
101.8736 6.8596 6.8559
101.9361 6.8508 6.8469
101.9986 6.8420 6.8380
- -----------------------------------------------------------------
Spread @ Center Price 145 145
WAL 9.89167 9.72500
Mod Durn 6.922 6.841
Mod Convexity 0.589 0.574
Principal Window Apr09 to Apr09 Feb09 to Feb09
Maturity #mos 119 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%)
Prepay At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty
Extension, if balloon None None
Pay Exten Princ
Default At 0 CDR At 0 CDR
Loss Severity 0.3 0.3
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
- -----------------------------------------------------------------
<TABLE>
<CAPTION>
FUNCM99C2_1, Class E--Price/Yield
CUSIP Face $41,352,582.00 Settle at Pricing
Coupon 0 Original Balance $41,352,582.00 Accrual begins 5/1/99
Delay 14 Current Balance $41,352,582.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN WAC
YIELD CURVE: Spread off interpolated node
3MO=4.761, 6MO=4.761, 1YR=4.761, 2YR=5.143, 3YR=5.212, 5YR=5.35, 10YR=5.465, 30YR=5.803
- ---------------------------------------------------------------------------------------------------------------------------------
0CPR; Ext0mo 10CPR; Ext0mo 15CPR; Ext0mo 25CPR; Ext0mo 50CPR; Ext0mo
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
bp bp bp bp bp
Price Yield
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
99.4695 7.4368 7.4373 7.4370 7.4361 7.4347
99.532 7.4277 7.4282 7.4278 7.4269 7.4256
99.5945 7.4186 7.4190 7.4187 7.4178 7.4164
99.657 7.4095 7.4099 7.4096 7.4087 7.4072
99.7195 7.4004 7.4008 7.4004 7.3995 7.3981
99.782 7.3913 7.3917 7.3913 7.3904 7.3890
99.8445 7.3822 7.3826 7.3822 7.3813 7.3798
99.907 7.3731 7.3735 7.3731 7.3722 7.3707
99.9695 7.3640 7.3644 7.3640 7.3631 7.3616
100.032 7.3549 7.3554 7.3549 7.3540 7.3525
100.0945 7.3459 7.3463 7.3459 7.3449 7.3434
100.157 7.3368 7.3372 7.3368 7.3358 7.3343
100.2195 7.3278 7.3282 7.3277 7.3267 7.3252
100.282 7.3187 7.3191 7.3187 7.3177 7.3161
100.3445 7.3097 7.3101 7.3096 7.3086 7.3071
100.407 7.3007 7.3010 7.3006 7.2996 7.2980
100.4695 7.2916 7.2920 7.2915 7.2905 7.2889
- ---------------------------------------------------------------------------------------------------------------------------------
Spread @ Center Price 190 190 190 190 190
WAL 9.97500 9.96423 9.95079 9.93394 9.91431
Mod Durn 6.857 6.852 6.846 6.838 6.829
Mod Convexity 0.584 0.583 0.582 0.580 0.578
Principal Window May09 to May09 Apr09 to May09 Apr09 to May09 Apr09 to May09 Apr09 to May09
Maturity #mos 120 120 120 120 120
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 10 CPR At 15 CPR At 25 CPR At 50 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 0.3 0.3 0.3 0.3 0.3
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
- ------------------------------------------------------------------------------------------ --------------------------------------
</TABLE>
- -----------------------------------------------------------------
75CPR; Ext0mo 100CPR; Ext0mo
100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12;
bp bp
Price
- -----------------------------------------------------------------
99.4695 7.4343 7.4337
99.532 7.4252 7.4244
99.5945 7.4160 7.4152
99.657 7.4068 7.4059
99.7195 7.3977 7.3966
99.782 7.3885 7.3874
99.8445 7.3794 7.3781
99.907 7.3702 7.3689
99.9695 7.3611 7.3596
100.032 7.3520 7.3504
100.0945 7.3429 7.3412
100.157 7.3338 7.3320
100.2195 7.3247 7.3228
100.282 7.3156 7.3136
100.3445 7.3065 7.3044
100.407 7.2974 7.2952
100.4695 7.2884 7.2860
- -----------------------------------------------------------------
Spread @ Center Price 190 190
WAL 9.89669 9.72500
Mod Durn 6.821 6.740
Mod Convexity 0.577 0.561
Principal Window Apr09 to May09 Feb09 to Feb09
Maturity #mos 120 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%)
Prepay At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty
Extension, if balloon None None
Pay Exten Princ
Default At 0 CDR At 0 CDR
Loss Severity 0.3 0.3
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
- -----------------------------------------------------------------
<TABLE>
<CAPTION>
FUNCM99C2_1, Class F--Price/Yield
CUSIP Face $17,722,535.00 Settle at Pricing
Coupon 0 Original Balance $17,722,535.00 Accrual begins 5/1/99
Delay 14 Current Balance $17,722,535.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN WAC
YIELD CURVE: Spread off interpolated node
3MO=4.761, 6MO=4.761, 1YR=4.761, 2YR=5.143, 3YR=5.212, 5YR=5.35, 10YR=5.465, 30YR=5.803
- ---------------------------------------------------------------------------------------------------------------------------------
0CPR; Ext0mo 10CPR; Ext0mo 15CPR; Ext0mo 25CPR; Ext0mo 50CPR; Ext0mo
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
bp bp bp bp bp
Price Yield
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
93.0833 8.3964 8.4117 8.4114 8.4105 8.4089
93.1458 8.3865 8.4018 8.4015 8.4006 8.3990
93.2083 8.3767 8.3918 8.3915 8.3906 8.3890
93.2708 8.3669 8.3819 8.3816 8.3807 8.3791
93.3333 8.3571 8.3720 8.3717 8.3708 8.3691
93.3958 8.3473 8.3620 8.3617 8.3608 8.3592
93.4583 8.3375 8.3521 8.3518 8.3509 8.3493
93.5208 8.3278 8.3422 8.3419 8.3410 8.3394
93.5833 8.3180 8.3323 8.3320 8.3311 8.3295
93.6458 8.3083 8.3224 8.3221 8.3212 8.3196
93.7083 8.2985 8.3126 8.3122 8.3114 8.3098
93.7708 8.2888 8.3027 8.3024 8.3015 8.2999
93.8333 8.2790 8.2928 8.2925 8.2916 8.2900
93.8958 8.2693 8.2830 8.2827 8.2818 8.2802
93.9583 8.2596 8.2731 8.2728 8.2719 8.2703
94.0208 8.2499 8.2633 8.2630 8.2621 8.2605
94.0833 8.2402 8.2535 8.2532 8.2523 8.2507
- ---------------------------------------------------------------------------------------------------------------------------------
Spread @ Center Price 285 287 287 287 287
WAL 10.18042 9.97500 9.97500 9.97500 9.97500
Mod Durn 6.809 6.718 6.718 6.718 6.718
Mod Convexity 0.584 0.566 0.566 0.566 0.566
Principal Window May09 to Sep09 May09 to May09 May09 to May09 May09 to May09 May09 to May09
Maturity #mos 124 120 120 120 120
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 10 CPR At 15 CPR At 25 CPR At 50 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 0.3 0.3 0.3 0.3 0.3
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
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- -----------------------------------------------------------------
75CPR; Ext0mo 100CPR; Ext0mo
100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12;
bp bp
Price
- -----------------------------------------------------------------
93.0833 8.4083 8.4249
93.1458 8.3983 8.4148
93.2083 8.3884 8.4047
93.2708 8.3785 8.3946
93.3333 8.3685 8.3845
93.3958 8.3586 8.3744
93.4583 8.3487 8.3643
93.5208 8.3388 8.3542
93.5833 8.3289 8.3442
93.6458 8.3190 8.3341
93.7083 8.3091 8.3240
93.7708 8.2993 8.3140
93.8333 8.2894 8.3040
93.8958 8.2795 8.2940
93.9583 8.2697 8.2839
94.0208 8.2599 8.2739
94.0833 8.2500 8.2639
- -----------------------------------------------------------------
Spread @ Center Price 286 289
WAL 9.97500 9.72500
Mod Durn 6.719 6.605
Mod Convexity 0.566 0.545
Principal Window May09 to May09 Feb09 to Feb09
Maturity #mos 120 117
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%)
Prepay At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty
Extension, if balloon None None
Pay Exten Princ
Default At 0 CDR At 0 CDR
Loss Severity 0.3 0.3
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
- -----------------------------------------------------------------
<TABLE>
<CAPTION>
FUNCM99C2_1, Class IO--Price/Yield
CUSIP Face $1,181,502,346.00 Settle at Pricing
Coupon 0.005 Original Balance $1,181,502,346.00 Accrual begins 5/1/99
Delay 14 Current Balance $1,181,502,346.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type SEN WAC IO
YIELD CURVE: Spread off interpolated node
3MO=4.761, 6MO=4.761, 1YR=4.761, 2YR=5.143, 3YR=5.212, 5YR=5.35, 10YR=5.465, 30YR=5.803
- ---------------------------------------------------------------------------------------------------------------------------------
0CPR; Ext0mo 10CPR; Ext0mo 15CPR; Ext0mo 25CPR; Ext0mo 50CPR; Ext0mo
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12; adv100% lag12;
bp bp bp bp bp
Price Yield
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
4.784 9.9199 10.1495 10.2360 10.3820 10.6162
4.7996 9.8413 10.0685 10.1540 10.2985 10.5300
4.8152 9.7631 9.9880 10.0725 10.2154 10.4443
4.8309 9.6854 9.9078 9.9914 10.1328 10.3590
4.8465 9.6080 9.8281 9.9108 10.0506 10.2742
4.8621 9.5311 9.7488 9.8306 9.9689 10.1899
4.8777 9.4546 9.6700 9.7508 9.8875 10.1060
4.8934 9.3785 9.5915 9.6714 9.8067 10.0226
4.909 9.3028 9.5135 9.5924 9.7262 9.9396
4.9246 9.2275 9.4359 9.5139 9.6462 9.8570
4.9402 9.1526 9.3586 9.4358 9.5666 9.7749
4.9559 9.0780 9.2818 9.3580 9.4874 9.6932
4.9715 9.0039 9.2054 9.2807 9.4086 9.6120
4.9871 8.9301 9.1294 9.2038 9.3302 9.5311
5.0027 8.8568 9.0537 9.1272 9.2522 9.4507
5.0184 8.7838 8.9785 9.0511 9.1746 9.3707
5.034 8.7111 8.9036 8.9754 9.0974 9.2912
- ---------------------------------------------------------------------------------------------------------------------------------
pread @ Center Price 385 407 415 429 450
WAL 9.47627 9.17540 9.07741 8.93996 8.76255
Mod Durn 4.166 4.042 3.995 3.920 3.801
Mod Convexity 0.272 0.255 0.249 0.240 0.227
Principal Window Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Feb29 Jun99 to Nov27
Maturity #mos 357 357 357 357 342
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 10 CPR At 15 CPR At 25 CPR At 50 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 0.3 0.3 0.3 0.3 0.3
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
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- -----------------------------------------------------------------
75CPR; Ext0mo 100CPR; Ext0mo
100% 0% rules; 100% 0% rules;
0CDR,30% 0CDR,30%
adv100% lag12; adv100% lag12;
bp bp
Price
- -----------------------------------------------------------------
4.784 10.7372 10.7314
4.7996 10.6493 10.6406
4.8152 10.5618 10.5504
4.8309 10.4748 10.4607
4.8465 10.3883 10.3715
4.8621 10.3022 10.2827
4.8777 10.2166 10.1945
4.8934 10.1315 10.1067
4.909 10.0468 10.0195
4.9246 9.9626 9.9327
4.9402 9.8788 9.8464
4.9559 9.7955 9.7605
4.9715 9.7126 9.6751
4.9871 9.6302 9.5902
5.0027 9.5482 9.5057
5.0184 9.4666 9.4217
5.034 9.3854 9.3382
- -----------------------------------------------------------------
pread @ Center Price 461 459
WAL 8.67211 8.47493
Mod Durn 3.725 3.615
Mod Convexity 0.221 0.212
Principal Window Jun99 to Nov23 Jun99 to Sep23
Maturity #mos 294 292
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%)
Prepay At 75 CPR At 100 CPR
No prepays
Lockout and penalties Include penalty Include penalty
Extension, if balloon None None
Pay Exten Princ
Default At 0 CDR At 0 CDR
Loss Severity 0.3 0.3
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 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.
Generated by Intex Trader 5/12/99 6:33 PM
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
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.005 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=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 100CPR; Ext0mo 100CPR; Ext0mo 100CPR ym; Ext0mo 100CPR ym pt;
100% 0% rules; 100% 0% rules; 100% 0% rules; 100% 0% rules; Ext0mo 100% 0%
0CDR,0% adv100% 0CDR,0% adv100% 0CDR,0% adv100% 0CDR,0% adv100% rules; 0CDR,0%
Price lag0; 0bp lag0; 0bp lag0; 300bp lag0; 0bp adv100% lag0; 0bp
Yield
<S> <C> <C> <C> <C> <C>
5-12+ 9.6771 10.4709 7.2873 9.3247 9.4136
5-13 9.6071 10.3903 7.2174 9.2538 9.3433
5-13+ 9.5376 10.3102 7.1479 9.1833 9.2733
5-14 9.4683 10.2304 7.0787 9.1131 9.2036
5-14+ 9.3994 10.1510 7.0099 9.0432 9.1343
5-15 9.3308 10.0720 6.9414 8.9736 9.0653
5-15+ 9.2625 9.9934 6.8732 8.9044 8.9966
5-16 9.1945 9.9152 6.8053 8.8355 8.9283
5-16+ 9.1269 9.8374 6.7377 8.7669 8.8603
5-17 9.0595 9.7599 6.6704 8.6986 8.7925
5-17+ 8.9925 9.6828 6.6035 8.6307 8.7251
5-18 8.9258 9.6061 6.5369 8.5630 8.6581
5-18+ 8.8594 9.5298 6.4705 8.4957 8.5913
5-19 8.7933 9.4538 6.4045 8.4286 8.5248
5-19+ 8.7275 9.3782 6.3388 8.3619 8.4587
5-20 8.6620 9.3029 6.2734 8.2955 8.3928
5-20+ 8.5968 9.2280 6.2083 8.2294 8.3272
Spread @ Center Price 382 455 -155 346 356
WAL 9.48647 8.48529 8.48529 9.24419 9.30641
Mod Durn 4.158 3.614 4.162 4.100 4.134
Mod Convexity 0.269 0.211 0.270 0.259 0.266
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
No prepays During any During any pts,
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 Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
Shock (bp) 0 0 300 0 0
</TABLE>
(Table continued)
<TABLE>
<CAPTION>
0CPR; Ext12mo (50%)
100% 0% rules;
0CDR,0% adv100% lag0;
Price bp and Loan
Yield
<S> <C>
5-12+ 10.1482
5-13 10.0792
5-13+ 10.0105
5-14 9.9421
5-14+ 9.8741
5-15 9.8064
5-15+ 9.7390
5-16 9.6719
5-16+ 9.6051
5-17 9.5386
5-17+ 9.4725
5-18 9.4066
5-18+ 9.3411
5-19 9.2759
5-19+ 9.2109
5-20 9.1463
5-20+ 9.0819
Spread @ Center Price 429
WAL 9.86750
Mod Durn 4.212
Mod Convexity 0.276
Principal Window Jun99 to Feb29
Maturity #mos 357
Total Collat Loss 0.00 (0.00%)
Prepay At 0 CPR
No prepays
Lockout and penalties Include penalty
Extension, if balloon 12 months 50%
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)
</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 IO--Price/Yield
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.005 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=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 0CPR; Ext0mo
100% 0% 100% 0% rules;
rules; 0CDR,30% 0CPR; Ext0mo 100% 2CDR,30% 0CPR; Ext0mo 100% 0%
adv100% 0% rules; 1CDR,30% adv100% lag12; rules; 3CDR,30%
Price lag12; 0bp adv100% lag12; 0bp 0bp adv100% lag12; 0bp
Yield
<S> <C> <C> <C> <C>
5-12+ 9.6771 8.5457 7.3883 6.1782
5-13 9.6071 8.4758 7.3183 6.1079
5-13+ 9.5376 8.4062 7.2486 6.0379
5-14 9.4683 8.3370 7.1793 5.9683
5-14+ 9.3994 8.2680 7.1103 5.8990
5-15 9.3308 8.1994 7.0416 5.8300
5-15+ 9.2625 8.1312 6.9732 5.7614
5-16 9.1945 8.0632 6.9051 5.6930
5-16+ 9.1269 7.9956 6.8374 5.6250
5-17 9.0595 7.9282 6.7700 5.5573
5-17+ 8.9925 7.8612 6.7029 5.4900
5-18 8.9258 7.7945 6.6361 5.4229
5-18+ 8.8594 7.7281 6.5696 5.3562
5-19 8.7933 7.6621 6.5035 5.2897
5-19+ 8.7275 7.5963 6.4376 5.2236
5-20 8.6620 7.5308 6.3720 5.1578
5-20+ 8.5968 7.4656 6.3068 5.0923
Spread @ Center Price 382 270 154 34
WAL 9.48647 9.09821 8.73210 8.38665
Mod Durn 4.158 4.158 4.153 4.136
Mod Convexity 0.269 0.270 0.270 0.268
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%) 29,553,816.42 (2.50%) 56,671,098.43 (4.80%) 81,554,640.15 (6.90%)
Prepay At 0 CPR At 0 CPR At 0 CPR At 0 CPR
No prepays
Lockout and penalties Include Include penalty Include penalty Include penalty
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 30% 30% 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
</TABLE>
(Table continued)
<TABLE>
<CAPTION>
0CPR; Ext0mo 100%
0CPR; Ext0mo 100% 0% 0% rules 5CDR,30%
rules; 4CDR,30% adv100% lag12;
Price adv100% lag12; 0bp 0bp
<S> <C> <C>
5-12+ 4.8552 3.3440
5-13 4.7841 3.2706
5-13+ 4.7133 3.1975
5-14 4.6428 3.1248
5-14+ 4.5727 3.0524
5-15 4.5029 2.9803
5-15+ 4.4334 2.9086
5-16 4.3642 2.8371
5-16+ 4.2954 2.7660
5-17 4.2269 2.6952
5-17+ 4.1587 2.6248
5-18 4.0908 2.5546
5-18+ 4.0233 2.4848
5-19 3.9560 2.4153
5-19+ 3.8891 2.3460
5-20 3.8224 2.2771
5-20+ 3.7561 2.2085
Spread @ Center Price -98 -251
WAL 8.06048 7.75231
Mod Durn 4.086 3.955
Mod Convexity 0.260 0.233
Principal Window Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357
Total Collat Loss 104,389,019.93 (8.84%) 125,342,489.09 (10.61%)
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 4 CDR At 5 CDR
Loss Severity 30% 30%
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N)
Shock (bp) 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>
FUNCM99C2_RED2, Class IO--Price/Yield
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.005 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=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 0CPR; Ext0mo 100% 0% 0CPR; Ext0mo 100% 0% 0CPR; Ext0mo 100%
100% 0% rules; rules; 0 for 24 rules; 0 for 24 0% rules; 0 for 24
0CDR,30% adv100% 1CDR,30% adv100% 2CDR,30% adv100% 3CDR,30% adv100%
Price lag12; 0bp lag12; 0bp lag12; 0bp lag12; 0bp
Yield
<S> <C> <C> <C> <C>
5-12+ 9.6771 9.0351 8.3757 7.7151
5-13 9.6071 8.9648 8.3048 7.6436
5-13+ 9.5376 8.8947 8.2342 7.5724
5-14 9.4683 8.8250 8.1640 7.5016
5-14+ 9.3994 8.7556 8.0941 7.4311
5-15 9.3308 8.6866 8.0245 7.3609
5-15+ 9.2625 8.6179 7.9552 7.2911
5-16 9.1945 8.5495 7.8863 7.2216
5-16+ 9.1269 8.4814 7.8177 7.1524
5-17 9.0595 8.4136 7.7494 7.0836
5-17+ 8.9925 8.3462 7.6814 7.0150
5-18 8.9258 8.2790 7.6138 6.9468
5-18+ 8.8594 8.2122 7.5464 6.8789
5-19 8.7933 8.1457 7.4794 6.8113
5-19+ 8.7275 8.0795 7.4127 6.7441
5-20 8.6620 8.0136 7.3463 6.6771
5-20+ 8.5968 7.9479 7.2801 6.6104
Spread @ Center Price 382 318 252 186
WAL 9.48647 9.24234 9.00983 8.78825
Mod Durn 4.158 4.131 4.099 4.066
Mod Convexity 0.269 0.266 0.262 0.257
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%) 23,035,031.75 (1.95%) 44,550,516.42 (3.77%) 64,652,819.92 (5.47%)
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 0 for 24 1 CDR At 0 for 24 2 CDR At 0 for 24 3 CDR
Loss Severity 0.3 0.3 0.3 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
</TABLE>
(Table continued)
<TABLE>
<CAPTION>
0CPR; Ext0mo 100% 0CPR; Ext0mo 100% 0%
0% rules; 0 for 24 rules; 0 for 24
4CDR,30% adv100% 5CDR,30% adv100%
Price lag12; 0bp lag12; 0bp
<S> <C> <C>
5-12+ 7.0193 6.2772
5-13 6.9470 6.2039
5-13+ 6.8751 6.1310
5-14 6.8035 6.0584
5-14+ 6.7323 5.9862
5-15 6.6614 5.9143
5-15+ 6.5908 5.8427
5-16 6.5206 5.7715
5-16+ 6.4507 5.7006
5-17 6.3811 5.6300
5-17+ 6.3119 5.5598
5-18 6.2429 5.4899
5-18+ 6.1743 5.4203
5-19 6.1060 5.3510
5-19+ 6.0380 5.2820
5-20 5.9704 5.2134
5-20+ 5.9030 5.1451
Spread @ Center Price 116 42
WAL 8.57692 8.37523
Mod Durn 4.023 3.967
Mod Convexity 0.252 0.243
Principal Window Jun99 to Feb29 Jun99 to Feb29
Maturity #mos 357 357
Total Collat Loss 83,439,431.36 (7.06%) 100,999,880.76 (8.55%)
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 30% 30%
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N)
Shock (bp) 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>
FUNCM99C2_RED2, Class IO--Price/Yield
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.005 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=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 ym; Ext0mo 100CPR ym; Ext0mo 100CPR ym; Ext0mo
100% 0% rules; 100% 0% rules; 100CPR ym; Ext0mo 100% 100% 0% rules;
0CDR,30% adv100% 1CDR,30% adv100% 0% rules; 2CDR,30% 3CDR,30% adv100%
Price lag12; 0bp lag12; 0bp adv100% lag12; 0bp lag12; 0bp
Yield
<S> <C> <C> <C> <C>
5-12+ 9.3247 8.1952 7.0267 5.8140
5-13 9.2538 8.1243 6.9557 5.7427
5-13+ 9.1833 8.0538 6.8850 5.6717
5-14 9.1131 7.9836 6.8146 5.6010
5-14+ 9.0432 7.9137 6.7446 5.5306
5-15 8.9736 7.8441 6.6749 5.4606
5-15+ 8.9044 7.7749 6.6055 5.3910
5-16 8.8355 7.7060 6.5365 5.3216
5-16+ 8.7669 7.6374 6.4678 5.2526
5-17 8.6986 7.5691 6.3994 5.1838
5-17+ 8.6307 7.5012 6.3313 5.1155
5-18 8.5630 7.4335 6.2635 5.0474
5-18+ 8.4957 7.3662 6.1960 4.9796
5-19 8.4286 7.2991 6.1288 4.9121
5-19+ 8.3619 7.2324 6.0620 4.8450
5-20 8.2955 7.1660 5.9954 4.7781
5-20+ 8.2294 7.0999 5.9292 4.7116
Spread @ Center Price 346 234 118 -3
WAL 9.24419 8.88002 8.53556 8.20956
Mod Durn 4.100 4.100 4.092 4.074
Mod Convexity 0.259 0.259 0.259 0.256
Principal Window Jun99 to Sep23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23
Maturity #mos 292 294 294 294
Total Collat Loss 0.00 (0.00%) 29,367,040.64 (2.49%) 56,353,165.78 (4.77%) 81,148,878.39 (6.87%)
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 CDR At 1 CDR At 2 CDR At 3 CDR
Loss Severity 0.3 0.3 0.3 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
</TABLE>
(Table continued)
<TABLE>
<CAPTION>
100CPR ym;
100CPR ym; Ext0mo Ext0Mo 100% 0%
100% 0% rules; rules; 5CDR,30%
4CDR,30% adv100% adv100% lag12;
Price lag12; 0bp 0bp
<S> <C> <C>
5-12+ 4.5106 3.0220
5-13 4.4385 2.9479
5-13+ 4.3667 2.8742
5-14 4.2953 2.8007
5-14+ 4.2243 2.7276
5-15 4.1535 2.6549
5-15+ 4.0831 2.5824
5-16 4.0131 2.5103
5-16+ 3.9433 2.4385
5-17 3.8739 2.3671
5-17+ 3.8047 2.2959
5-18 3.7360 2.2251
5-18+ 3.6675 2.1545
5-19 3.5993 2.0843
5-19+ 3.5314 2.0144
5-20 3.4639 1.9448
5-20+ 3.3966 1.8756
Spread @ Center Price -133 -283
WAL 7.90090 7.60850
Mod Durn 4.032 3.917
Mod Convexity 0.250 0.227
Principal Window Jun99 to Nov23 Jun99 to Nov23
Maturity #mos 294 294
Total Collat Loss 103,928,863.83(8.80%) 124,853,440.93 (10.57%)
Prepay At 100 CPR At 100 CPR
No prepays During any YM During any YM
Lockout and penalties Include penalty Include penalty
Extension, if balloon None None
Increase Coupon
Pay Exten Princ
Default At 4 CDR At 5 CDR
Loss Severity 30% 30%
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N)
Shock (bp) 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>
FUNCM99C2_RED2, Class IO--Price/Yield
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.005 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=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 ym; Ext0mo 100CPR ym; Ext0mo
100CPR ym; Ext0mo 100% 100% 0% rules; 0 for 100% 0% rules; 0 100CPR ym; Ext0mo 100% 0%
0% rules; 0CDR,30% 24 1CDR,30% adv100% for 24 2CDR,30% rules; 0 for 24 3CDR,30%
Price adv100% lag12; 0bp lag12; 0bp adv100% lag12; 0bp adv100% lag12; 0bp
Yield
<S> <C> <C> <C> <C>
5-12+ 9.3247 8.6923 8.0345 7.3736
5-13 9.2538 8.6210 7.9626 7.3011
5-13+ 9.1833 8.5500 7.8911 7.2290
5-14 9.1131 8.4794 7.8199 7.1572
5-14+ 9.0432 8.4091 7.7490 7.0857
5-15 8.9736 8.3391 7.6785 7.0146
5-15+ 8.9044 8.2694 7.6083 6.9438
5-16 8.8355 8.2001 7.5384 6.8734
5-16+ 8.7669 8.1311 7.4689 6.8032
5-17 8.6986 8.0624 7.3996 6.7334
5-17+ 8.6307 7.9940 7.3307 6.6639
5-18 8.5630 7.9259 7.2621 6.5948
5-18+ 8.4957 7.8582 7.1939 6.5259
5-19 8.4286 7.7907 7.1259 6.4574
5-19+ 8.3619 7.7236 7.0582 6.3892
5-20 8.2955 7.6568 6.9909 6.3212
5-20+ 8.2294 7.5902 6.9238 6.2536
Spread @ Center Price 346 283 217 151
WAL 9.24419 9.01972 8.80518 8.60004
Mod Durn 4.100 4.075 4.044 4.010
Mod Convexity 0.259 0.256 0.252 0.248
Principal Window Jun99 to Sep23 Jun99 to Nov23 Jun99 to Nov23 Jun99 to Nov23
Maturity #mos 292 294 294 294
Total Collat Loss 0.00 (0.00%) 22,844,463.67 (1.93%) 44,219,474.52 (3.74%) 64,221,571.38 (5.44%)
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 CDR At 0 for 24 1 CDR At 0 for 24 2 CDR At 0 for 24 3 CDR
Loss Severity 0.3 0.3 0.3 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
</TABLE>
(Table continued)
<TABLE>
<CAPTION>
100CPR ym; Ext0mo 100% 100CPR ym; Ext0mo
0% rules; 0 for 24 100% 0% rules; 0 for
4CDR,30% adv100% 24 5CDR,30% adv100%
Price lag12; 0bp lag12; 0bp
<S> <C> <C>
5-12+ 6.6852 5.9592
5-13 6.6120 5.8850
5-13+ 6.5391 5.8112
5-14 6.4666 5.7377
5-14+ 6.3944 5.6646
5-15 6.3225 5.5918
5-15+ 6.2510 5.5193
5-16 6.1798 5.4472
5-16+ 6.1090 5.3754
5-17 6.0384 5.3039
5-17+ 5.9682 5.2328
5-18 5.8983 5.1620
5-18+ 5.8288 5.0915
5-19 5.7595 5.0214
5-19+ 5.6906 4.9515
5-20 5.6220 4.8820
5-20+ 5.5537 4.8128
Spread @ Center Price 82 9
WAL 8.40376 8.21588
Mod Durn 3.969 3.918
Mod Convexity 0.242 0.235
Principal Window Jun99 to Nov23 Jun99 to Nov23
Maturity #mos 294 294
Total Collat Loss 82,940,130.04 (7.02%) 100,457,999.14 (8.50%)
Prepay At 100 CPR At 100 CPR
No prepays During any YM During any YM
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 30% 30%
Servicer Advances 100% of P & I 100% of P & I
Recovery Lag 12 mos 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N)
Shock (bp) 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.
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
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP Face $1,181,529,533.00 Settle at Pricing
Coupon 0.005 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=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 noP; Ext0mo
0CPR noP; Ext0mo 100% 100% 0% rules;
0% rules; 0CDR,0% 0CDR,0% adv100% lag0;
Price adv100% lag0; bp bp
Yield Yield
<S> <C> <C>
5-12+ 9.6771 6.9620
5-13 9.6071 6.8930
5-13+ 9.5376 6.8243
5-14 9.4683 6.7559
5-14+ 9.3994 6.6879
5-15 9.3308 6.6202
5-15+ 9.2625 6.5528
5-16 9.1945 6.4857
5-16+ 9.1269 6.4189
5-17 9.0595 6.3524
5-17+ 8.9925 6.2863
5-18 8.9258 6.2204
5-18+ 8.8594 6.1549
5-19 8.7933 6.0896
5-19+ 8.7275 6.0246
5-20 8.6620 5.9600
5-20+ 8.5968 5.8956
Spread @ Center Price 382 113
WAL 9.48647 8.48529
Mod Durn 4.158 4.212
Mod Convexity 0.269 0.275
Principal Window Jun99 to Feb29 Jun99 to Sep23
Maturity #mos 357 292
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%)
Prepay At 0 CPR At 100 CPR
No prepays
Lockout and penalties Exclude penalty Exclude penalty
Extension, if balloon None 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 0 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N)
Shock (bp) 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.
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.
TEMP99C2--Deal P/Y
YIELD CURVE: Spread off interpolated node
3MO=4.76, 6MO=4.76, 1YR=4.76, 2YR=5.15,
3YR=5.12133333333, 5YR=5.33, 10YR=5.46, 30YR=5.79
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>
Tranche CUSIP Tranche Type Current Balance Coupon IO Strip WAL Prin Window
<S> <C> <C> <C> <C> <C> <C> <C>
A1 SEN FIX $203,500,000.00 6.364000 1.132653 5.39490 Jun99-Jun08
A2 SEN FIX $673,765,492.00 6.658000 0.838653 9.58703 Jun08-Apr09
IO SEN WAC IO $1,181,502,346.00 0.005000 9.48724 Jun99-Feb29
B JUN FIX $47,260,093.00 6.789000 0.707653 9.90278 Apr09-Apr09
C JUN FIX $62,028,874.00 6.938000 0.558653 9.90554 Apr09-May09
D JUN FIX $14,768,779.00 7.050000 0.446653 9.98611 May09-May09
E JUN WAC $41,352,582.00 0.000000 0.100000 9.98611 May09-May09
F JUN WAC $17,722,535.00 0.000000 0.100000 10.19153 May09-Sep09
G JUN FIX $41,352,582.00 5.950000 1.546653 11.92905 Sep09-Dec11
H JUN FIX $11,815,024.00 5.950000 1.546653 13.31902 Dec11-Mar13
J JUN FIX $11,815,023.00 5.950000 1.546653 13.97477 Mar13-Sep13
K JUN FIX $11,815,024.00 5.950000 1.546653 15.08982 Sep13-Apr15
L JUN FIX $11,815,023.00 5.950000 1.546653 16.72698 Apr15-Jun16
M JUN FIX $11,815,024.00 5.950000 1.546653 17.68229 Jun16-Dec17
N JUN FIX $20,676,291.00 5.950000 1.546653 20.69148 Dec17-Feb29
COLLAT Collateral $1,181,502,346.30 7.286668 9.48724 Jun99-Feb29
R NPR NPR $0.00 0.000000 0.00000 Feb29-May99
</TABLE>
<TABLE>
<CAPTION>
Tranche Price $/100 Yield Spread Value ($) Accrued Interest Bench Mark
<S> <C> <C> <C> <C> <C> <C>
A1 Yld Crv
A2 Yld Crv
IO 4.863718 9.296668 385 $57,464,940.31 $561,268.71 Yld Crv
B Yld Crv
C Yld Crv
D Yld Crv
E Yld Crv
F Yld Crv
G Yld Crv
H Yld Crv
J Yld Crv
K Yld Crv
L Yld Crv
M Yld Crv
N Yld Crv
COLLAT Yld Crv
R Yld Crv
</TABLE>
Generated by Intex Trader 5/11/99 9:03 a.m.
Information provided herein is believed by Intex
to be accurate; however Intex cannot guarantee accuracy
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 G--Price/Yield
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
CUSIP Face $41,353,534.00 Settle at Pricing
Coupon 5.95 Original Balance $41,353,534.00 Accrual begins 5/1/99
Delay 14 Current Balance $41,353,534.00 Factor Date N/A
Stated Maturity N/A Factor 1
Type JUN 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; Ext12mo 50% 0CPR; Ext12mo
0CDR,0% 0% rules; 0CDR,0% 100% 0% rules; 0CPR; Ext0mo 100%
adv100% lag0; adv100% lag0; bp 0CDR,0% adv100% 0% rules; 1CDR,30%
Price bp and Loan lag0; bp and Loan adv100% lag12; bp
Yield Yield Yield Yield
<S> <C> <C> <C> <C>
73-02 9.9490 9.8811 9.8237 9.7515
73-04 9.9377 9.8700 9.8127 9.7407
73-06 9.9264 9.8588 9.8017 9.7300
73-08 9.9150 9.8477 9.7907 9.7192
73-10 9.9038 9.8366 9.7798 9.7084
73-12 9.8925 9.8255 9.7688 9.6977
73-14 9.8812 9.8144 9.7579 9.6869
73-16 9.8699 9.8033 9.7470 9.6762
73-18 9.8587 9.7923 9.7361 9.6655
73-20 9.8475 9.7812 9.7252 9.6548
73-22 9.8362 9.7702 9.7143 9.6441
73-24 9.8250 9.7592 9.7034 9.6334
73-26 9.8138 9.7481 9.6925 9.6228
73-28 9.8026 9.7371 9.6817 9.6121
73-30 9.7915 9.7262 9.6709 9.6015
74-00 9.7803 9.7152 9.6600 9.5909
74-02 9.7692 9.7042 9.6492 9.5803
Spread @ Center Price 450 443 437 429
WAL 11.92849 12.25549 12.55420 12.92788
Mod Durn 7.526 7.652 7.760 7.903
Mod Convexity 0.739 0.768 0.795 0.829
Principal Window Sep09 to Dec11 May10 to Sep12 Sep10 to Sep12 Sep11 to Aug13
Maturity #mos 151 160 160 171
Total Collat Loss 0.00 (0.00%) 0.00 (0.00%) 0.00 (0.00%) 29,553,816.42 (2.50%)
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 12 month 50% 12 month None
Increase Coupon
Pay Exten Princ
Default At 0 CDR At 0 CDR At 0 CDR At 1 CDR
Loss Severity 0% 0% 0% 30%
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 12 mos
Optional Redemption Calls ASAP (N) Calls ASAP (N) Calls ASAP (N) Calls ASAP (N)
</TABLE>
(Table continued)
<TABLE>
<CAPTION>
0CPR; Ext0mo 100% 0CPR; Ext0mo 100% 0% 0CPR; Ext0mo 100% 0%
0% rules; 2CDR,30% rules; 3CDR,30% rules; 4CDR,30%
Price adv100% lag12; bp adv100% lag12; bp adv100% lag12; bp
<S> <C> <C> <C>
73-02 9.5019 9.0309 4.8506
73-04 9.4918 9.0216 4.8412
73-06 9.4817 9.0123 4.8319
73-08 9.4716 9.0030 4.8225
73-10 9.4615 8.9937 4.8132
73-12 9.4514 8.9844 4.8039
73-14 9.4413 8.9752 4.7946
73-16 9.4313 8.9659 4.7853
73-18 9.4212 8.9567 4.7760
73-20 9.4112 8.9474 4.7667
73-22 9.4012 8.9382 4.7575
73-24 9.3911 8.9290 4.7482
73-26 9.3811 8.9198 4.7390
73-28 9.3712 8.9107 4.7298
73-30 9.3612 8.9015 4.7206
74-00 9.3512 8.8923 4.7114
74-02 9.3413 8.8832 4.7022
Spread @ Center Price 401 350 -61
WAL 14.54936 17.41131 13.56268
Mod Durn 8.426 9.164 9.118
Mod Convexity 0.973 1.212 1.285
Principal Window Sep11 to Jun16 May13 to Feb29 Jun16 to Feb29
Maturity #mos 205 357 357
Total Collat Loss 56,671,098.43 (4.80%) 81,554,640.15 (6.90%) 104,389,019.93 (8.84%)
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 2 CDR At 3 CDR At 4 CDR
Loss Severity 30% 30% 30%
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)
</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.
