<PAGE>
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(D) OF THE
SECURITIES AND EXCHANGE ACT OF 1934
Date of Report: June 2, 1999
- ---------------------------------
(Date of earliest event reported)
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION V
------------------------------------------------------
(Exact name of registrant as specified in its charter)
DELAWARE 333-64551 13-3748219
(State or Other Jurisdiction (Commission File Number) (I.R.S. Employer
of Incorporation) Identification No.)
1285 Avenue of the Americas, New York, NY 10019
-----------------------------------------------
(Address of principal executive offices)
Registrant's telephone number, including area code: (212) 713-7900
ITEM 5. OTHER EVENTS
Attached as Exhibit 99 to this Current Report are certain computational
materials (the "Computational Materials") furnished to PaineWebber Mortgage
Acceptance Corporation V (the "Registrant") by PaineWebber Incorporated and
Merrill Lynch, Pierce, Fenner & Smith Incorporated (collectively, the
"Underwriters") in connection with the Registrant's proposed offering of its
Commercial Mortgage Pass-Through Certificates, Series 1999-C1 Class A-1, Class
A-2, Class B, Class C, Class D and Class X (the "Certificates"). The
Certificates will be offered pursuant to a Prospectus and related Prospectus
Supplement (together, the "Prospectus") which will be filed with the Commission
pursuant to Rule 424 under the Securities Act of 1933, as amended (the "Act").
The offering of the Certificates will be registered pursuant to the Act under
the Registrant's Registration Statement on Form S-3 (No. 333-64551) (the
"Registration Statement"). These Computational Materials will be incorporated by
reference in the Registration Statement.
The Computational Materials were prepared solely by the Underwriters,
and the Registrant did not prepare or participate in the preparation thereof.
Any statement or information contained in the Computational Materials
may be modified or superseded by subsequent similar materials or, for purposes
of the Prospectus and the Registration Statement, by statements or information
contained in the Prospectus.
ITEM 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS
(a) Not applicable.
(b) Not applicable.
(c) Exhibits
<PAGE>
Exhibit 99 Computational Materials.
2
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on behalf of the
Registrant by the undersigned duly authorized officer.
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION V
By: /s/ Steven J. Plust
------------------------------------------
Name: Steven J. Plust
Title: Managing Director
Date: June 2, 1999
3
<PAGE>
EXHIBIT INDEX
Item 601(a) of Regulation S-K
Exhibit No. Description Page
- ----------- ----------- ----
99 Computational Materials
<PAGE>
- -------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION V (DEPOSITOR)
Commercial Mortgage Pass-Through Certificates, Series 1999-C1
- -------------------------------------------------------------------------------
Legend
Prospective investors are advised to read carefully, and should rely
solely on, the information contained in the final prospectus supplement to the
prospectus dated March 25, 1999 relating to certain classes of certificates
referred to above (the "Certificates") in making their investment decision.
The information contained in this Exhibit 99 should be reviewed only in
conjunction with a careful review of such prospectus supplement and prospectus.
Such information does not include any information relating to the structure of
the Certificates and does not include all relevant information relating to the
underlying Mortgage Loans. Particular attention should be paid to the risks and
special considerations associated with an investment in the Certificates
described in such prospectus supplement and prospectus. The information
contained in this Exhibit 99 should not be viewed as projections, forecasts,
predictions or opinions with respect to value.
Any information contained in this Exhibit 99 is subject to completion
or amendment. Furthermore, any information contained in this Exhibit 99 will be
more fully described in the final prospectus supplement and prospectus, and such
information contained herein will be fully superseded thereby. Prior to making
any investment decision, a prospective investor should receive and carefully
review such prospectus supplement and prospectus.
NOTHING IN THIS EXHIBIT 99 SHOULD BE CONSIDERED AN OFFER TO SELL OR A
SOLICITATION OF AN OFFER TO BUY THE CERTIFICATES.
<PAGE>
May 17, 1999
PAINEWEBBER INCORPORATED
PMAC 1999 C-1
CLASS A-1
- -------------------------------------------------------------------------------
PRICING SPEED: RUN SETTLES RULES FROM COLLATERAL TERM COUPON
- -------------------------------------------------------------------------------
0.000 CPR at Issuance 6/7/99 Script 309.9 7.4023
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
CLASS 3A1 ORIGINAL PAR TYPE COUPON PRICE
- -------------------------------------------------------------------------------
Tranche 1 $153,627,000 SEQ 6.4300 (FIXED) 100.51688
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
PREPAYMENT RATE 0 CPR 25 CPR 50 CPR 75 CPR 100 CPR 0 CPR 0 CPR 0 CPR
DEFAULT RATE 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA
PRICE IN 4/32NDS STEPS +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
99-00 6.694 6.712 6.723 6.730 6.737 6.694 6.694 6.694
99-04 6.664 6.681 6.692 6.698 6.705 6.664 6.664 6.664
99-08 6.635 6.651 6.660 6.666 6.672 6.635 6.635 6.635
99-12 6.605 6.620 6.629 6.634 6.640 6.605 6.605 6.605
99-16 6.576 6.590 6.598 6.603 6.608 6.576 6.576 6.576
99-20 6.546 6.559 6.567 6.571 6.575 6.546 6.546 6.546
99-24 6.517 6.529 6.536 6.540 6.543 6.517 6.517 6.517
99-28 6.488 6.498 6.505 6.508 6.511 6.488 6.488 6.488
100-00 6.458 6.468 6.474 6.477 6.479 6.458 6.458 6.458
100-04 6.429 6.438 6.443 6.446 6.447 6.429 6.429 6.429
100-08 6.400 6.407 6.412 6.414 6.415 6.400 6.400 6.400
100-12 6.371 6.377 6.381 6.383 6.383 6.371 6.371 6.371
100-16(P) 6.342 6.347 6.350 6.352 6.351 6.342 6.342 6.342
100-20 6.313 6.317 6.320 6.321 6.320 6.313 6.313 6.313
100-24 6.284 6.287 6.289 6.290 6.288 6.284 6.284 6.284
100-28 6.255 6.257 6.258 6.259 6.256 6.255 6.255 6.255
101-00 6.226 6.227 6.228 6.228 6.225 6.226 6.226 6.226
101-04 6.197 6.197 6.197 6.197 6.193 6.197 6.197 6.197
101-08 6.168 6.168 6.167 6.166 6.162 6.168 6.168 6.168
101-12 6.139 6.138 6.137 6.135 6.130 6.139 6.139 6.139
101-16 6.111 6.108 6.106 6.105 6.099 6.111 6.111 6.111
101-20 6.082 6.079 6.076 6.074 6.067 6.082 6.082 6.082
101-24 6.054 6.049 6.046 6.043 6.036 6.054 6.054 6.054
101-28 6.025 6.020 6.016 6.013 6.005 6.025 6.025 6.025
102-00 5.997 5.990 5.986 5.982 5.974 5.997 5.997 5.997
- ---------------------------------------------------------------------------------------------
AVERAGE LIFE: 5.321 5.126 5.013 4.944 4.829 5.321 5.321 5.321
MOD DURATION: 4.276 4.130 4.045 3.991 3.906 4.276 4.276 4.276
EXP. 1ST PAY: 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99
EXP. MATURITY: 12/15/07 10/15/07 9/15/07 8/15/07 7/15/07 12/15/07 12/15/07 12/15/07
AL TSY SPREAD: 0.85 0.86 0.87 0.88 0.88 0.85 0.85 0.85
- ---------------------------------------------------------------------------------------------
</TABLE>
- -------------------------------------------------------------------------------
TREASURY CURVE
- -------------------------------------------------------------------------------
TSY YIELD TSY YIELD
--- ----- --- -----
1 YR 4.830
2 YR 5.260 10 YR 5.600
5 YR 5.480 30 YR 5.890
- -------------------------------------------------------------------------------
<PAGE>
May 17, 1999
PAINEWEBBER INCORPORATED
PMAC 1999 C-1
CLASS A-2
- -------------------------------------------------------------------------------
PRICING SPEED: RUN SETTLES RULES FROM COLLATERAL TERM COUPON
- -------------------------------------------------------------------------------
0.000 CPR at Issuance 6/7/99 Script 309.9 7.4023
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
CLASS 3A2 ORIGINAL PAR TYPE COUPON PRICE
- -------------------------------------------------------------------------------
Tranche 2 $357,327,000 SEQ 6.8000 (FIXED) 101.52121
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
PREPAYMENT RATE 0 CPR 25 CPR 50 CPR 75 CPR 100 CPR 0 CPR 0 CPR 0 CPR
DEFAULT RATE 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA
PRICE IN 4/32NDS STEPS +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100-00 6.858 6.858 6.857 6.857 6.857 6.858 6.858 6.858
100-04 6.839 6.839 6.839 6.839 6.838 6.839 6.839 6.839
100-08 6.820 6.820 6.820 6.820 6.819 6.820 6.820 6.820
100-12 6.802 6.802 6.801 6.801 6.800 6.802 6.802 6.802
100-16 6.783 6.783 6.783 6.783 6.781 6.783 6.783 6.783
100-20 6.765 6.764 6.764 6.764 6.763 6.765 6.765 6.765
100-24 6.746 6.746 6.746 6.745 6.744 6.746 6.746 6.746
100-28 6.728 6.727 6.727 6.727 6.725 6.728 6.728 6.728
101-00 6.709 6.709 6.709 6.708 6.706 6.709 6.709 6.709
101-04 6.691 6.690 6.690 6.690 6.688 6.691 6.691 6.691
101-08 6.672 6.672 6.672 6.671 6.669 6.672 6.672 6.672
101-12 6.654 6.654 6.653 6.653 6.650 6.654 6.654 6.654
101-16(P) 6.636 6.635 6.635 6.634 6.632 6.636 6.636 6.636
101-20 6.617 6.617 6.616 6.616 6.613 6.617 6.617 6.617
101-24 6.599 6.599 6.598 6.598 6.595 6.599 6.599 6.599
101-28 6.581 6.580 6.580 6.579 6.576 6.581 6.581 6.581
102-00 6.562 6.562 6.562 6.561 6.558 6.562 6.562 6.562
102-04 6.544 6.544 6.543 6.543 6.539 6.544 6.544 6.544
102-08 6.526 6.526 6.525 6.524 6.521 6.526 6.526 6.526
102-12 6.508 6.507 6.507 6.506 6.502 6.508 6.508 6.508
102-16 6.490 6.489 6.489 6.488 6.484 6.490 6.490 6.490
102-20 6.472 6.471 6.471 6.470 6.465 6.472 6.472 6.472
102-24 6.454 6.453 6.452 6.452 6.447 6.454 6.454 6.454
102-28 6.436 6.435 6.434 6.433 6.429 6.436 6.436 6.436
103-00 6.418 6.417 6.416 6.415 6.411 6.418 6.418 6.418
- ---------------------------------------------------------------------------------------------
AVERAGE LIFE: 9.268 9.252 9.234 9.209 9.085 9.268 9.268 9.268
MOD DURATION: 6.711 6.703 6.693 6.680 6.614 6.711 6.711 6.711
EXP. 1ST PAY: 12/15/07 10/15/07 9/15/07 8/15/07 7/15/07 12/15/07 12/15/07 12/15/07
EXP. MATURITY: 4/15/09 4/15/09 4/15/09 4/15/09 1/15/09 4/15/09 4/15/09 4/15/09
AL TSY SPREAD: 1.05 1.05 1.05 1.05 1.05 1.05 1.05 1.05
- ---------------------------------------------------------------------------------------------
</TABLE>
TREASURY CURVE
- --------------------------------------------------------------------------------
TSY YIELD TSY YIELD
--- ----- --- -----
1 YR 4.830
2 YR 5.260 10 YR 5.600
5 YR 5.480 30 YR 5.890
- --------------------------------------------------------------------------------
<PAGE>
May 17, 1999
PAINEWEBBER INCORPORATED
PMAC 1999 C-1
CLASS B
- --------------------------------------------------------------------------------
PRICING SPEED: RUN SETTLES RULES FROM COLLATERAL TERM COUPON
- --------------------------------------------------------------------------------
0.000 CPR at Issuance 6/7/99 Script 309.9 7.4023
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CLASS AA ORIGINAL PAR TYPE COUPON PRICE
- --------------------------------------------------------------------------------
Tranche 3 $35,238,000 SEQ 6.9400 101.58402
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PREPAYMENT RATE 0 CPR 25 CPR 50 CPR 75 CPR 100 CPR 0 CPR 0 CPR 0 CPR
DEFAULT RATE 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA
PRICE IN 4/32NDS STEPS +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP
- ---------------------- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100-00 7.002 7.002 7.002 7.002 7.002 7.002 7.002 7.002
100-04 6.984 6.984 6.984 6.984 6.984 6.984 6.984 6.984
100-08 6.966 6.966 6.966 6.966 6.966 6.966 6.966 6.966
100-12 6.948 6.948 6.948 6.948 6.948 6.948 6.948 6.948
100-16 6.931 6.931 6.931 6.931 6.930 6.931 6.931 6.931
100-20 6.913 6.913 6.913 6.913 6.912 6.913 6.913 6.913
100-24 6.895 6.895 6.895 6.895 6.894 6.895 6.895 6.895
100-28 6.877 6.877 6.877 6.877 6.876 6.877 6.877 6.877
101-00 6.859 6.859 6.959 6.859 6.858 6.859 6.859 6.859
101-04 6.841 6.841 6.841 6.841 6.840 6.841 6.841 6.841
101-08 6.824 6.824 6.824 6.824 6.823 6.824 6.824 6.824
101-12 6.806 6.806 6.806 6.806 6.805 6.806 6.806 6.806
101-16(P) 6.788 6.788 6.788 6.788 6.787 6.788 6.788 6.788
101-20 6.771 6.771 6.771 6.771 6.769 6.771 6.771 6.771
101-24 6.753 6.753 6.753 6.753 6.752 6.753 6.753 6.753
101-28 6.736 6.736 6.736 6.736 6.734 6.736 6.736 6.736
102-00 6.718 6.718 6.718 6.718 6.716 6.718 6.718 6.718
102-04 6.700 6.700 6.700 6.700 6.699 6.700 6.700 6.700
102-08 6.683 6.683 6.683 6.683 6.681 6.683 6.683 6.683
102-12 6.665 6.665 6.665 6.665 6.664 6.665 6.665 6.665
102-16 6.648 6.648 6.648 6.648 6.646 6.648 6.648 6.648
102-20 6.631 6.631 6.631 6.631 6.628 6.631 6.631 6.631
102-24 6.613 6.613 6.613 6.613 6.611 6.613 6.613 6.613
102-28 6.596 6.596 6.596 6.596 6.594 6.596 6.596 6.596
103-00 6.579 6.578 6.578 6.578 6.576 6.579 6.579 6.579
AVERAGE LIFE: 9.857 9.856 9.856 9.856 9.785 9.857 9.857 9.857
MOD DURATION: 6.968 6.967 6.967 6.967 6.932 6.968 6.968 6.968
EXP. 1ST PAY: 4/15/09 4/15/09 4/15/09 4/15/09 1/15/09 4/15/09 4/15/09 4/15/09
EXP. MATURITY: 5/15/09 4/15/09 4/15/09 4/15/09 4/15/09 5/15/09 5/15/09 5/15/09
AL TSY SPREAD: 1.19 1.19 1.19 1.19 1.19 1.19 1.19 1.19
</TABLE>
TREASURY CURVE
TSY YIELD TSY YIELD
1 YR 4.830
2 YR 5.260 10 YR 5.600
5 YR 5.480 30 YR 5.890
<PAGE>
May 17, 1999
PAINEWEBBER INCORPORATED
PMAC 1999 C-1
CLASS C
PRICING SPEED: RUN SETTLES RULES FROM COLLATERAL TERM COUPON
- -------------- --- ------- ---------- ---------- ---- ------
at
0.000 CPR Issuance 6/7/99 Script 309.9 7.4023
CLASS A ORIGINAL PAR TYPE COUPON PRICE
- ------- ------------ ---- ------ -----
Tranche 4 $37,000,000 SEQ 7.0900 101.59293
<TABLE>
<CAPTION>
PREPAYMENT RATE 0 CPR 25 CPR 50 CPR 75 CPR 100 CPR 0 CPR 0 CPR 0 CPR
DEFAULT RATE 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA
PRICE IN 4/32NDS STEPS +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP
---------------------- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
100-00 7.156 7.156 7.156 7.156 7.156 7.156 7.156 7.156
100-04 7.138 7.138 7.138 7.138 7.138 7.138 7.138 7.138
100-08 7.120 7.120 7.120 7.120 7.119 7.120 7.120 7.120
100-12 7.102 7.102 7.102 7.102 7.101 7.102 7.102 7.102
100-16 7.084 7.084 7.084 7.084 7.083 7.084 7.084 7.084
100-20 7.066 7.066 7.066 7.066 7.065 7.066 7.066 7.066
100-24 7.048 7.048 7.048 7.048 7.047 7.048 7.048 7.048
100-28 7.030 7.030 7.030 7.030 7.029 7.030 7.030 7.030
101-00 7.013 7.012 7.012 7.012 7.012 7.013 7.013 7.013
101-04 6.995 6.995 6.995 6.994 6.994 6.995 6.995 6.995
101-08 6.977 6.977 6.977 6.977 6.976 6.977 6.977 6.977
101-12 6.959 6.959 6.959 6.959 6.958 6.959 6.959 6.959
101-16(P) 6.942 6.942 6.941 6.941 6.940 6.942 6.942 6.942
101-20 6.924 6.924 6.924 6.923 6.923 6.924 6.924 6.924
101-24 6.906 6.906 6.906 6.906 6.905 6.906 6.906 6.906
101-28 6.889 6.889 6.888 6.888 6.887 6.889 6.889 6.889
102-00 6.871 6.871 6.871 6.870 6.869 6.871 6.871 6.871
102-04 6.854 6.853 6.853 6.853 6.852 6.854 6.854 6.854
102-08 6.836 6.836 6.836 6.835 6.834 6.836 6.836 6.836
102-12 6.819 6.818 6.818 6.818 6.817 6.819 6.819 6.819
102-16 6.801 6.801 6.801 6.800 6.799 6.801 6.801 6.801
102-20 6.784 6.783 6.783 6.783 6.781 6.784 6.784 6.784
102-24 6.766 6.766 6.766 6.765 6.764 6.766 6.766 6.766
102-28 6.749 6.749 6.748 6.748 6.746 6.749 6.749 6.749
103-00 6.732 6.731 6.731 6.731 6.729 6.732 6.732 6.732
AVERAGE LIFE: 9.942 9.932 9.923 9.909 9.862 9.942 9.942 9.942
MOD DURATION: 6.960 6.955 6.951 6.944 6.921 6.960 6.960 6.960
EXP. 1ST PAY: 5/15/09 4/15/09 4/15/09 4/15/09 4/15/09 5/15/09 5/15/09 5/15/09
EXP. MATURITY: 6/15/09 5/15/09 5/15/09 5/15/09 5/15/09 6/15/09 6/15/09 6/15/09
AL TSY SPREAD: 1.34 1.34 1.34 1.34 1.34 1.34 1.34 1.34
</TABLE>
TREASURY CURVE
TSY YIELD TSY YIELD
- --- ----- --- -----
1 YR 4.330
2 YR 5.260 10 YR 5.600
5 YR 5.480 30 YR 5.890
<PAGE>
May 17, 1999
PAINEWEBBER INCORPORATED
PMAC 1999 C-1
CLASS D
PRICING SPEED: RUN SETTLES RULES FROM COLLATERAL TERM COUPON
- -------------- --- ------- ---------- ---------- ---- ------
at
0.000 CPR Issuance 6/7/99 Script 309.9 7.4023
CLASS BBB ORIGINAL PAR TYPE COUPON PRICE
--------- ------------ ---- ------ -----
Tranche 5 $33,476,000 SEQ 7.2700 98.88167
<TABLE>
<CAPTION>
PREPAYMENT RATE 0 CPR 25 CPR 50 CPR 75 CPR 100 CPR 0 CPR 0 CPR 0 CPR
DEFAULT RATE 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA
PRICE IN 4/32NDS STEPS +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP
- ---------------------- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
97-05 7.756 7.757 7.757 7.758 7.761 7.756 7.756 7.756
97-09 7.737 7.738 7.739 7.739 7.742 7.737 7.737 7.737
97-13 7.719 7.719 7.720 7.721 7.723 7.719 7.719 7.719
97-17 7.700 7.701 7.701 7.702 7.704 7.700 7.700 7.700
97-21 7.682 7.682 7.683 7.683 7.685 7.682 7.682 7.682
97-25 7.663 7.664 7.664 7.665 7.667 7.663 7.663 7.663
97-29 7.645 7.645 7.646 7.646 7.648 7.645 7.645 7.645
98-01 7.627 7.627 7.627 7.628 7.629 7.627 7.627 7.627
98-05 7.608 7.608 7.609 7.609 7.611 7.608 7.608 7.608
98-09 7.590 7.590 7.590 7.591 7.592 7.590 7.590 7.590
98-13 7.571 7.572 7.572 7.572 7.574 7.571 7.571 7.571
98-17 7.553 7.553 7.554 7.554 7.555 7.553 7.553 7.553
98-21(P) 7.535 7.535 7.535 7.536 7.537 7.535 7.535 7.535
98-25 7.517 7.517 7.517 7.517 7.518 7.517 7.517 7.517
98-29 7.498 7.499 7.499 7.499 7.500 7.498 7.498 7.498
99-01 7.480 7.480 7.481 7.481 7.481 7.480 7.480 7.480
99-05 7.462 7.462 7.462 7.463 7.463 7.462 7.462 7.462
99-09 7.444 7.444 7.444 7.444 7.445 7.444 7.444 7.444
99-13 7.426 7.426 7.426 7.426 7.427 7.426 7.426 7.426
99-17 7.408 7.408 7.408 7.408 7.408 7.408 7.408 7.408
99-21 7.390 7.390 7.390 7.390 7.390 7.390 7.390 7.390
99-25 7.372 7.372 7.372 7.372 7.372 7.372 7.372 7.372
99-29 7.354 7.354 7.354 7.354 7.354 7.354 7.354 7.354
100-01 7.336 7.336 7.336 7.336 7.335 7.336 7.336 7.336
100-05 7.318 7.318 7.318 7.318 7.317 7.318 7.318 7.318
AVERAGE LIFE: 10.143 10.125 10.099 10.063 9.963 10.143 10.143 10.143
MOD DURATION: 6.935 6.927 6.915 6.898 6.852 6.935 6.935 6.935
EXP. 1ST PAY: 6/15/09 5/15/09 5/15/09 5/15/09 5/15/09 6/15/09 6/15/09 6/15/09
EXP. MATURITY: 12/15/09 12/15/09 12/15/09 12/15/09 6/15/09 12/15/09 12/15/09 12/15/09
AL TSY SPREAD: 1.93 1.93 1.93 1.93 1.94 1.93 1.93 1.93
</TABLE>
TREASURY CURVE
TSY YIELD TSY YIELD
- --- ----- --- -----
1 YR 4.830
2 YR 5.260 10 YR 5.600
5 YR 5.480 30 YR 5.890
<PAGE>
May 17, 1999
PAINEWEBBER INCORPORATED
PMAC 1999 C-1
CLASS X
PRICING SPEED: RUN SETTLES RULES FROM COLLATERAL TERM COUPON
- -------------- --- ------- ---------- ---------- ---- ------
at
0.000 CPR Issuance 6/7/99 Script 309.9 7.4023
CLASS X ORIGINAL PAR TYPE COUPON PRICE
- ------- ------------ ---- ------ -----
Tranche 11 $704,764,602 SEQ 0.6163 4.26467
<TABLE>
<CAPTION>
PREPAYMENT RATE 0 CPR 25 CPR 50 CPR 75 CPR 100 CPR 0 CPR 0 CPR 0 CPR
DEFAULT RATE 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA 0 PSA
PRICE IN 4/32NDS STEPS +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP +0 BP
- ---------------------- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
2-26 21.339 21.383 21.405 21.407 21.275 21.339 21.339 21.339
2-30 19.935 19.971 19.987 19.984 19.841 19.935 19.935 19.935
3-02 18.634 18.663 18.674 18.666 18.515 18.634 18.634 18.634
3-06 17.425 17.448 17.454 17.443 17.282 17.425 17.425 17.425
3-10 16.297 16.315 16.316 16.302 16.134 16.297 16.297 16.297
3-14 15.242 15.255 15.252 15.235 15.061 15.242 15.242 15.242
3-18 14.252 14.260 14.255 14.234 14.055 14.252 14.252 14.252
3-22 13.321 13.325 13.316 13.294 13.109 13.321 13.321 13.321
3-26 12.443 12.443 12.432 12.407 12.217 12.443 12.443 12.443
3-30 11.613 11.610 11.597 11.570 11.375 11.613 11.613 11.613
4-02 10.827 10.821 10.805 10.777 10.578 10.827 10.827 10.827
4-06 10.082 10.073 10.055 10.025 9.823 10.082 10.082 10.082
4-10(P) 9.373 9.362 9.342 9.310 9.105 9.373 9.373 9.373
4-14 8.698 8.684 8.663 8.630 8.422 8.698 8.698 8.698
4-18 8.054 8.039 8.016 7.981 7.770 8.054 8.054 8.054
4-22 7.440 7.422 7.397 7.362 7.149 7.440 7.440 7.440
4-26 6.851 6.832 6.806 6.770 6.554 6.851 6.851 6.851
4-30 6.288 6.267 6.240 6.203 5.985 6.288 6.288 6.288
5-02 5.748 5.725 5.698 5.659 5.440 5.748 5.748 5.748
5-06 5.230 5.205 5.177 5.137 4.916 5.230 5.230 5.230
5-10 4.731 4.706 4.676 4.636 4.413 4.731 4.731 4.731
5-14 4.252 4.225 4.194 4.154 3.930 4.252 4.252 4.252
5-18 3.790 3.762 3.730 3.689 3.464 3.790 3.790 3.790
5-22 3.344 3.315 3.283 3.241 3.015 3.344 3.344 3.344
5-26 2.915 2.885 2.852 2.809 2.582 2.915 2.915 2.915
AVERAGE LIFE: 9.208 9.153 9.116 9.084 8.976 9.208 9.208 9.208
MOD DURATION: 4.182 4.168 4.157 4.149 4.131 4.182 4.182 4.182
EXP. 1ST PAY: 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99
EXP. MATURITY: 2/15/19 2/15/19 2/15/19 2/15/19 2/15/19 2/15/19 2/15/19 2/15/19
AL TSY SPREAD: 3.79 3.78 3.76 3.73 3.53 3.79 3.79 3.79
</TABLE>
TREASURY CURVE
TSY YIELD TSY YIELD
- --- ----- --- -----
1 YR 4.830
2 YR 5.260 10 YR 5.600
5 YR 5.480 30 YR 5.890
<PAGE>
Deal Total: 704.76
PROPERTY TYPES TOTAL (MM) TOP 3 STATES DEAL (MM)
- -------------- ---------- ------------ ---- ----
% Multifamily 223.05 31.65%
TX 10.29% 72.51587
FL 2.64% 18.60141
MD 2.49% 17.531242
% Retail 93.66 13.29%
NY 2.97% 20.905557
TX 1.77% 12.443411
FL 1.47% 10.386228
% Office 91.48 12.98%
MD 6.74% 47.491674
NV 1.56% 10.993724
FL 1.37% 9.669614
% Hospitality 80.65 11.44%
NC 1.83% 12.928909
FL 1.35% 9.48679
SC 1.24% 8.750569
% Industrial 70.74 10.04%
MI 2.14% 15.069371
CA 1.90% 13.408242
AZ 1.32% 9.311958
% CTL 49.65 7.04%
MN 2.11% 14.875
PR 1.23% 8.664
NH 1.20% 8.426
% Nursing Home 32.84 4.66%
NJ 4.66% 32.84
% Mixed 22.57 3.20%
MD 2.62% 18.478392
NY 0.58% 4.089008
% Mobile Home
Park 12.61 1.79%
MN 0.65% 4.60394
CA 0.54% 3.8234
IL 0.37% 2.576959
% Senior Housing 9.97 1.41%
VT 0.85% 5.96272
PA 0.57% 4.005236
% Other 7.52 1.07%
CA 0.90% 6.336877
MA 0.17% 1.18582
% Healthcare 7.44 1.06%
NY 1.06% 7.438152
% Self Storage 2.61 0.37%
OK 0.37% 2.609089
The information contained herein is privileged, confidential and intended for
use only by the addressee and shall not be republished without the express
approval of PaineWebber. The prices indicated reflect a bid side estimated
valuation unless otherwise indicated. No assurance can be given as to the
accuracy, appropriateness or the completeness of this information and the prices
indicated may differ from values provided by PaineWebber in other contexts.
Market indications in the subject securities may vary greatly among dealers.
Unless otherwise indicated, PaineWebber utilized its own methods for the
valuation which may not comport with your own designated models, criteria,
assumptions or regulatory requirements. The material is provided for information
purposes only and is not intended as an offer or solicitation to purchase or
sell the securities specified.
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: D DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/20/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/25/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.966 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.65 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): No Default: 0%
Premiums: Yes Extend: 100%,12m,0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond D Rating: Baa2/BBB
PRICE VALUE PREPAYMENT (9 BY 5) Factor: 100% Coupon: 7.27% Position: $33,476,000 Accrued: $40,562 (6 DAYS) Bench: C
by 0:04 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
98:10 -167,380 7.574% 7.574% 7.575% 7.575% 7.575%
98:14 -125,535 7.557% 7.557% 7.557% 7.558% 7.557%
98:18 -83,690 7.539% 7.540% 7.540% 7.540% 7.540%
98:22 -41,845 7.522% 7.522% 7.523% 7.523% 7.522%
98:26 $33,078,473 7.505% 7.505% 7.505% 7.506% 7.505%
98:30 +41,845 7.488% 7.488% 7.488% 7.488% 7.488%
99:02 +83,690 7.471% 7.471% 7.471% 7.471% 7.470%
99:06 +125,535 7.453% 7.454% 7.454% 7.454% 7.453%
99:10 +167,380 7.436% 7.436% 7.437% 7.437% 7.436%
SPREAD 189.0b 189.1b 189.1b 189.2b 189.2b
RETURN 7.376% 7.376% 7.376% 7.377% 7.380%
LIFE 11.040 11.005 10.979 10.960 10.904
DURATION 7.340 7.325 7.314 7.306 7.281
CONVEXITY 0.713 0.710 0.707 0.705 0.700
WINDOW May 10, Dec 10 May 10, Oct 10 May 10, Jun 10 May 10, Jun 10 Apr 10, May 10
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: D DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/20/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/25/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.239 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.31 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): No Default: 0%
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond D Rating: Baa2/BBB
PRICE VALUE PREPAYMENT (9 BY 5) Factor: 100% Coupon: 7.27% Position: $33,476,000 Accrued: $40,562 (6 DAYS) Bench: C
by 0:04 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
98:10 -167,380 7.585% 7.585% 7.586% 7.586% 7.588%
98:14 -125,535 7.567% 7.567% 7.567% 7.568% 7.569%
98:18 -83,690 7.549% 7.549% 7.549% 7.549% 7.551%
98:22 -41,845 7.530% 7.531% 7.531% 7.531% 7.532%
98:26 $33,078,473 7.512% 7.512% 7.512% 7.513% 7.514%
98:30 +41,845 7.494% 7.494% 7.494% 7.495% 7.495%
99:02 +83,690 7.476% 7.476% 7.476% 7.476% 7.477%
99:06 +125,535 7.458% 7.458% 7.458% 7.458% 7.459%
99:10 +167,380 7.440% 7.440% 7.440% 7.440% 7.440%
SPREAD 191.0b 191.0b 191.1b 191.2b 191.5b
RETURN 7.428% 7.429% 7.431% 7.433% 7.436%
LIFE 10.143 10.125 10.099 10.063 9.963
DURATION 6.939 6.930 6.918 6.902 6.856
CONVEXITY 0.629 0.627 0.625 0.622 0.612
WINDOW Jun 09, Dec 09 May 09, Dec 09 May 09, Dec 09 May 09, Dec 09 May 09, Jun 09
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: C DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/20/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/25/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.966 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.65 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): No Default: 0%
Premiums: Yes Extend: 100%,12m,0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond C Rating: A2/A
PRICE VALUE PREPAYMENT (9 BY 5) Factor: 100% Coupon: 7.09% Position: $37,000,000 Accrued: $43,722 (6 DAYS) Bench: C
by 0:04 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
101 -185,000 7.024% 7.024% 7.024% 7.023% 7.023%
101:04 -138,750 7.007% 7.007% 7.007% 7.007% 7.006%
101:08 -92,500 6.991% 6.990% 6.990% 6.990% 6.990%
101:12 -46,250 6.974% 6.974% 6.974% 6.973% 6.973%
101:16 $37,555,000 6.957% 6.957% 6.957% 6.957% 6.956%
101:20 +46,250 6.941% 6.941% 6.940% 6.940% 6.940%
101:24 +92,500 6.924% 6.924% 6.924% 6.923% 6.923%
101:28 +138,750 6.908% 6.908% 6.907% 6.907% 6.907%
102 +185,000 6.891% 6.891% 6.891% 6.890% 6.890%
SPREAD 134.4b 134.4b 134.4b 134.4b 134.4b
RETURN 6.859% 6.860% 6.861% 6.861% 6.862%
LIFE 10.923 10.909 10.892 10.872 10.856
DURATION 7.420 7.413 7.406 7.396 7.389
CONVEXITY 0.720 0.719 0.717 0.715 0.714
WINDOW Apr 10, May 10 Apr 10, May 10 Apr 10, May 10 Apr 10, May 10 Apr 10, Apr 10
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: C DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/20/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/25/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.239 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.31 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): No Default: 0%
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond C Rating: A2/A
PRICE VALUE PREPAYMENT (9 BY 5) Factor: 100% Coupon: 7.09% Position: $37,000,000 Accrued: $43,722 (6 DAYS) Bench: C
by 0:04 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
101 -185,000 7.013% 7.012% 7.012% 7.012% 7.012%
101:04 -138,750 6.995% 6.995% 6.995% 6.994% 6.994%
101:08 -92,500 6.977% 6.977% 6.977% 6.977% 6.976%
101:12 -46,250 6.959% 6.959% 6.959% 6.959% 6.958%
101:16 $37,555,000 6.942% 6.942% 6.941% 6.941% 6.940%
101:20 +46,250 6.924% 6.924% 6.924% 6.923% 6.923%
101:24 +92,500 6.906% 6.906% 6.906% 6.906% 6.905%
101:28 +138,750 6.889% 6.889% 6.888% 6.888% 6.887%
102 +185,000 6.871% 6.871% 6.871% 6.870% 6.869%
SPREAD 134.3b 134.3b 134.3b 134.3b 134.4b
RETURN 6.894% 6.893% 6.893% 6.893% 6.891%
LIFE 9.942 9.932 9.923 9.909 9.862
DURATION 6.960 6.955 6.951 6.944 6.921
CONVEXITY 0.625 0.625 0.624 0.622 0.618
WINDOW May 09, Jun 09 Apr 09, May 09 Apr 09, May 09 Apr 09, May 09 Apr 09, May 09
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.61% 4.79% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.61% 4.79% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: X DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/18/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0.69mm Horizon: 5/21/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.028 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.189 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): Yes Default: 0%
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond X Rating: AAA/AAA
PRICE VALUE PREPAYMENTS (9 BY 6) Factor: 100% Coupon: 0.616265% Position: $704,764,602n Accrued: $72,387 (6 DAYS) Bench: c
by 0:02 & Change --------------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 99% 100%
YIELD YIELD YIELD YIELD YIELD YIELD
- -----------------------------------------------------------------------------------------------------------------------------------
4:02 -1,761,912 10.828% 10.822% 10.806% 10.777% 10.685% 10.579%
4:04 -1,321,434 10.451% 10.443% 10.426% 10.397% 10.303% 10.197%
4:06 -880,956 10.083% 10.074% 10.056% 10.025% 9.931% 9.824%
4:08 -440,478 9.724% 9.714% 9.695% 9.664% 9.568% 9.460%
4:10 $30,392,973 9.374% 9.363% 9.343% 9.311% 9.215% 9.106%
4:12 +440,478 9.032% 9.020% 8.999% 8.967% 8.870% 8.760%
4:14 +880,956 8.699% 8.685% 8.664% 8.631% 8.533% 8.423%
4:16 +1,321,434 8.373% 8.359% 8.337% 8.303% 8.204% 8.093%
4:18 +1,761,912 8.055% 8.040% 8.017% 7.982% 7.883% 7.772%
SPREAD 379.3b 378.3b 376.4b 373.3b 363.8b 353.0b
RETURN 8.812% 8.800% 8.781% 8.750% 8.657% 8.545%
LIFE 9.208 9.153 9.116 9.084 9.028 8.976
DURATION 4.183 4.168 4.158 4.149 4.138 4.131
CONVEXITY 0.296 0.295 0.294 0.294 0.293 0.292
WINDOW Jul 99, Feb 19 Jul 99, Feb 19 Jul 99, Feb 19 Jul 99, Feb 19 Jul 99, Feb 19 Jul 99, Feb 19
LOSS 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
- -----------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.61% 4.79% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.61% 4.79% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: D DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/18/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0.66mm Horizon: 5/21/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $130.92mm Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 7.349 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 5.442 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: 100%
Cleanup(1%): Yes Default: table
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond D Rating: Baa2/BBB
PRICE VALUE PREPAYMENT (9 BY 4) Factor: 100% Coupon: 7.27% Position: $33,476,000 Accrued: $40,562 (6 DAYS) Bench: c
by 0:02 & Change -----------------------------------------------------------------------------------------------------------
0% 12:0%;6%,12m,40% 12:0%;7%,12m,40% 12:0%;8%,12m,40%
YIELD YIELD YIELD YIELD
- -----------------------------------------------------------------------------------------------------------------------------------
98:21 1/4 -83,690 7.536% 4.073% -2.427% -10.429%
98:23 1/4 -62,768 7.526% 4.066% -2.435% -10.441%
98:25 1/4 -41,845 7.517% 4.059% -2.443% -10.453%
98:27 1/4 -20,923 7.508% 4.052% -2.452% -10.465%
98:29 1/4 $33,112,472 7.499% 4.045% -2.460% -10.477%
98:31 1/4 +20,923 7.490% 4.038% -2.469% -10.490%
99:01 1/4 +41,845 7.480% 4.031% -2.477% -10.502%
99:03 1/4 +62,768 7.471% 4.024% -2.485% -10.514%
99:05 1/4 +83,690 7.462% 4.017% -2.493% -10.526%
SPREAD 190.0b -166.1b -817.5b -1508.7b
RETURN 7.425% 4.042% -2.289% NA
LIFE 9.963 17.314 17.939 NA
DURATION 6.858 8.934 7.566 5.193
CONVEXITY 0.613 1.193 0.906 0.365
WINDOW May 09, Jun09 Feb 14, Oct17 May 17, May 17 NA
LOSS 0.000% 53.109% 92.124% 100.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.61% 4.79% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.61% 4.79% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: X DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/18/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/21/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.122 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.263 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:lock Prepay: table
Cleanup(1%): Yes Default: 0%
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond X Rating: AAA/AAA
PRICE VALUE PREPAYMENT (9 BY 6) Factor:100% Coupon:0.616265% Position $704,764,602n Accrued: $72,387 (6 DAYS) Bench: c
by 0:02 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 99% 100%
YIELD YIELD YIELD YIELD YIELD YIELD
- ----------------------------------------------------------------------------------------------------------------------------------
4:02 -1,761,912 10.828% 10.809% 10.787% 10.756% 10.670% 10.570%
4:04 -1,321,434 10.451% 10.431% 10.409% 10.378% 10.291% 10.191%
4:06 -880,956 10.083% 10.063% 10.041% 10.009% 9.922% 9.821%
4:08 -440,478 9.724% 9.704% 9.681% 9.650% 9.562% 9.460%
4:10 $30,392,973 9.374% 9.354% 9.331% 9.299% 9.211% 9.108%
4:12 +440,478 9.032% 9.012% 8.989% 8.957% 8.868% 8.765%
4:14 +880,956 8.699% 8.679% 8.655% 8.623% 8.534% 8.430%
4:16 +1,321,434 8.373% 8.353% 8.330% 8.297% 8.207% 8.103%
4:18 +1,761,912 8.055% 8.035% 8.011% 7.978% 7.888% 7.783%
SPREAD 379.3b 377.3b 375.1b 371.9b 363.2b 353.1b
RETURN 8.812% 8.793% 8.771% 8.741% 8.659% 8.563%
LIFE 9.208 9.197 9.185 9.168 9.122 9.071
DURATION 4.183 4.180 4.178 4.175 4.169 4.161
CONVEXITY 0.296 0.296 0.296 0.295 0.295 0.294
WINDOW Jul 99, Feb 19 Jul 99, Feb 19 Jul 99, Feb 19 Jul 99, Feb 19 Jul 99, Feb 19 Jul 99, Feb 19
LOSS 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: D DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/20/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/25/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.966 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.65 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): No Default: 0%
Premiums: Yes Extend: 100%,12m,0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond D Rating: Baa2/BBB
PRICE VALUE PREPAYMENT (9 BY 5) Factor: 100% Coupon: 7.27% Position: $33,476,000 Accrued: $40,562 (6 DAYS) Bench: c
by 0:04 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
98:10 -167,380 7.574% 7.574% 7.575% 7.575% 7.575%
98:14 -125,535 7.557% 7.557% 7.557% 7.558% 7.557%
98:18 -83,690 7.539% 7.540% 7.540% 7.540% 7.540%
98:22 -41,845 7.522% 7.522% 7.523% 7.523% 7.522%
98:26 $33,078,473 7.505% 7.505% 7.505% 7.506% 7.505%
98:30 +41,845 7.488% 7.488% 7.488% 7.488% 7.488%
99:02 +83,690 7.471% 7.471% 7.471% 7.471% 7.470%
99:06 +125,535 7.453% 7.454% 7.454% 7.454% 7.453%
99:10 +167,380 7.436% 7.436% 7.437% 7.437% 7.436%
SPREAD 189.0b 189.1b 189.1b 189.2b 189.2b
RETURN 7.376% 7.376% 7.376% 7.377% 7.380%
LIFE 11.040 11.005 10.979 10.960 10.904
DURATION 7.340 7.325 7.314 7.306 7.281
CONVEXITY 0.713 0.710 0.707 0.705 0.700
WINDOW May 10, Dec 10 May 10, Oct 10 May 10, Jun 10 May 10, Jun 10 Apr 10, May 10
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: D DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/20/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/25/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.239 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.31 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): No Default: 0%
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond D Rating: Baa2/BBB
PRICE VALUE PREPAYMENTS (9 BY 5) Factor: 100% Coupon: 7.27% Position: $33,476,000 Accrued: $40,562 (6 DAYS) Bench: c
by 0:04 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
98:10 -167,380 7.585% 7.585% 7.586% 7.586% 7.588%
98:14 -125,535 7.567% 7.567% 7.567% 7.568% 7.569%
98:18 -83,690 7.549% 7.549% 7.549% 7.549% 7.551%
98:22 -41,845 7.530% 7.531% 7.531% 7.531% 7.532%
98:26 $33,078,473 7.512% 7.512% 7.512% 7.513% 7.514%
98:30 +41,845 7.494% 7.494% 7.494% 7.495% 7.495%
99:02 +83,690 7.476% 7.476% 7.476% 7.476% 7.477%
99:06 +125,535 7.458% 7.458% 7.458% 7.458% 7.459%
99:10 +167,380 7.440% 7.440% 7.440% 7.440% 7.440%
SPREAD 191.0b 191.0b 191.1b 191.2b 191.5b
RETURN 7.428% 7.429% 7.431% 7.433% 7.436%
LIFE 10.143 10.125 10.099 10.063 9.963
DURATION 6.939 6.930 6.918 6.902 6.856
CONVEXITY 0.629 0.627 0.625 0.622 0.612
WINDOW Jun 09, Dec 09 May 09, Dec 09 May 09, Dec 09 May 09, Dec 09 May 09, Jun 09
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: C DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/20/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/25/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.966 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.65 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): No Default: 0%
Premiums: Yes Extend: 100%,12m,0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond C Rating: A2/A
PRICE VALUE PREPAYMENTS (9 BY 5) Factor: 100% Coupon: 7.09% Position: $37,000,000 Accrued: $43,722 (6 DAYS) Bench: c
by 0:04 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
101 -185,000 7.024% 7.024% 7.024% 7.023% 7.023%
101:04 -138,750 7.007% 7.007% 7.007% 7.007% 7.006%
101:08 -92,500 6.991% 6.990% 6.990% 6.990% 6.990%
101:12 -46,250 6.974% 6.974% 6.974% 6.973% 6.973%
101:16 $37,555,000 6.957% 6.957% 6.957% 6.957% 6.956%
101:20 +46,250 6.941% 6.941% 6.940% 6.940% 6.940%
101:24 +92,500 6.924% 6.924% 6.924% 6.923% 6.923%
101:28 +138,750 6.908% 6.908% 6.907% 6.907% 6.907%
102 +185,000 6.891% 6.891% 6.891% 6.890% 6.890%
SPREAD 134.4b 134.4b 134.4b 134.4b 134.4b
RETURN 6.859% 6.860% 6.861% 6.861% 6.862%
LIFE 10.923 10.909 10.892 10.872 10.856
DURATION 7.420 7.413 7.406 7.396 7.389
CONVEXITY 0.720 0.719 0.717 0.715 0.714
WINDOW Apr 10, May 10 Apr 10, May 10 Apr 10, May 10 Apr 10, May 10 Apr 10, Apr 10
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: C DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/20/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/25/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.239 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.31 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): No Default: 0%
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond C Rating: A2/A
PRICE VALUE PREPAYMENTS (9 BY 5) Factor: 100% Coupon: 7.09% Position: $37,000,000 Accrued: $43,722 (6 DAYS) Bench: c
by 0:04 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
101 -185,000 7.013% 7.012% 7.012% 7.012% 7.012%
101:04 -138,750 6.995% 6.995% 6.995% 6.994% 6.994%
101:08 -92,500 6.977% 6.977% 6.977% 6.977% 6.976%
101:12 -46,250 6.959% 6.959% 6.959% 6.959% 6.958%
101:16 $37,555,000 6.942% 6.942% 6.941% 6.941% 6.940%
101:20 +46,250 6.924% 6.924% 6.924% 6.923% 6.923%
101:24 +92,500 6.906% 6.906% 6.906% 6.906% 6.905%
101:28 +138,750 6.889% 6.889% 6.888% 6.888% 6.887%
102 +185,000 6.871% 6.871% 6.871% 6.870% 6.869%
SPREAD 134.3b 134.3b 134.3b 134.3b 134.4b
RETURN 6.894% 6.893% 6.893% 6.893% 6.891%
LIFE 9.942 9.932 9.923 9.909 9.862
DURATION 6.960 6.955 6.951 6.944 6.921
CONVEXITY 0.625 0.625 0.624 0.622 0.618
WINDOW May 09, Jun 09 Apr 09, May 09 Apr 09, May 09 Apr 09, May 09 Apr 09, May 09
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.62% 4.82% 5.02% 5.239% 5.44% 5.502% 5.752%
------------------------------------------------------
4.62% 4.82% 5.02% 5.239% 5.44% 5.502% 5.752%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: A-2 DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/25/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/28/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.239 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.31 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): No Default: 0%
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond A-2 Rating: AAA/AAA
PRICE VALUE PREPAYMENTS (9 BY 5) Factor: 100% Coupon: 6.82% Position:$357,327,000 Accrued:$406,162 (6 DAYS) Bench: c
by 0:08 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- -----------------------------------------------------------------------------------------------------------------------------------
100:06 1/4 -3,573,270 6.849% 6.849% 6.849% 6.849% 6.848%
100:14 1/4 -2,679,953 6.812% 6.811% 6.811% 6.811% 6.810%
100:22 1/4 -1,786,635 6.774% 6.774% 6.774% 6.774% 6.772%
100:30 1/4 -893,318 6.737% 6.737% 6.737% 6.737% 6.735%
101:06 1/4 $361,598,174 6.701% 6.700% 6.700% 6.700% 6.697%
101:14 1/4 +893,318 6.664% 6.663% 6.663% 6.663% 6.660%
101:22 1/4 +1,786,635 6.627% 6.627% 6.626% 6.626% 6.623%
101:30 1/4 +2,679,953 6.591% 6.590% 6.590% 6.589% 6.586%
102:06 1/4 +3,573,270 6.554% 6.554% 6.553% 6.552% 6.549%
SPREAD 120.8b 120.8b 120.7b 120.7b 120.7b
RETURN 6.588% 6.588% 6.587% 6.587% 6.584%
LIFE 9.268 9.252 9.234 9.209 9.085
DURATION 6.699 6.691 6.681 6.668 6.603
CONVEXITY 0.571 0.570 0.568 0.566 0.554
WINDOW Dec 07, Apr 09 Oct 07, Apr 09 Sep 07, Apr 09 Aug 07, Apr 09 Jul 07, Jan 09
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.67% 4.77% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.67% 4.77% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: X DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/21/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0.69mm Horizon: 5/25/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 8.976 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.162 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: 100%
Cleanup(1%): Yes Default: table
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond X Rating: AAA/AAA
PRICE VALUE DEFAULTS (9 BY 6) Factor: 100% Coupon: 0.616265% Position: $704,764,602n Accrued: $72,387 (6 DAYS) Bench: c
by 0:02 & Change -----------------------------------------------------------------------------------------------------------
0% 24:0%;1%,12M,30% 24:0%;2%;12M,30% 24:0%;3%,12M,30% 24:0%;4%,12M,30% 24:0%;5%,12M,30%
YIELD YIELD YIELD YIELD YIELD YIELD
- -----------------------------------------------------------------------------------------------------------------------------------
4:02 -1,761,912 10.579% 9.881% 9.177% 8.457% 7.688% 6.864%
4:04 -1,321,434 10.197% 9.496% 8.788% 8.064% 7.291% 6.460%
4:06 -880,956 9.824% 9.120% 8.409% 7.682% 6.904% 6.067%
4:08 -440,478 9.460% 8.754% 8.039% 7.309% 6.526% 5.683%
4:10 $30,392,973 9.106% 8.396% 7.679% 6.946% 6.158% 5.310%
4:12 +440,478 8.760% 8.048% 7.328% 6.591% 5.800% 4.945%
4:14 +880,956 8.423% 7.708% 6.985% 6.245% 5.450% 4.589%
4:16 +1,321,434 8.093% 7.376% 6.650% 5.907% 5.108% 4.242%
4:18 +1,761,912 7.772% 7.052% 6.323% 5.578% 4.774% 3.902%
SPREAD 353.0b 282.6b 211.4b 138.5b 60.3b -24.2b
RETURN 8.534% 7.872% 7.202% 6.518% 5.784% 4.993%
LIFE 8.976 8.756 8.547 8.349 8.161 7.980
DURATION 4.131 4.099 4.065 4.028 3.980 3.916
CONVEXITY 0.292 0.288 0.284 0.279 0.272 0.263
WINDOW Jul 99, Feb 19 Jul 99, Nov 18 Jul 99, Aug 18 Jul 99, Jul 18 Jul 99, Jul 18 Jul 99, May 18
LOSS 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.68% 4.78% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: X DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/20/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/25/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $61.11mm Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 8.56 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.015 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: 0%
Cleanup(1%): Yes Default: table
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond X Rating: AAA / AAA
PRICE VALUE DEFAULTS (9 BY 5) Factor: 100% Coupon: 0.616265% Position: $704,764,602n Accrued: $72,387 (6 DAYS) Bench: c
by 0:02 & Change -------------------------------------------------------------------------------------------------------------
0% 12:0%;1%,12m,30% 12:0%,2%,12m,30% 12:0%;3%,12m,30% 12:0%;3%,12m,40%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
4:02 -1,761,912 10.828% 9.869% 8.895% 7.876% 7.378%
4:04 -1,321,434 10.451% 9.490% 8.513% 7.491% 6.986%
4:06 -880,956 10.083% 9.120% 8.141% 7.116% 6.604%
4:08 -440,478 9.724% 8.759% 7.778% 6.750% 6.232%
4:10 $30,392,973 9.374% 8.408% 7.425% 6.394% 5.869%
4:12 +440,478 9.032% 8.064% 7.080% 6.046% 5.515%
4:14 +880,956 8.699% 7.729% 6.743% 5.706% 5.169%
4:16 +1,321,434 8.373% 7.402% 6.414% 5.375% 4.832%
4:18 +1,761,912 8.055% 7.083% 6.093% 5.051% 4.502%
SPREAD 379.3b 283.4b 185.7b 83.3b 30.8b
RETURN 8.803% 7.901% 6.983% 6.021% 5.530%
LIFE 9.208 8.914 8.636 8.373 8.373
DURATION 4.183 4.162 4.138 4.105 4.034
CONVEXITY 0.296 0.294 0.292 0.288 0.276
WINDOW Jul 99, Feb 19 Jul 99, Nov 18 Jul 99, Sep 18 Jul 99, Jul 18 Jul 99, Jul 18
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.71% 4.84% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.71% 4.84% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: A-2 DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/18/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/21/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.208 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.304 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): Yes Default: 0%
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond A-2 Rating: AAA / AAA
PRICE VALUE PREPAYMENT (9 BY 5) Factor: 100% Coupon: 6.8% Position: $357,327,000 Accrued: $404,971 (6 DAYS) Bench: c
by 0:16 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
99:16 -7,146,540 6.933% 6.933% 6.933% 6.933% 6.933%
100 -5,359,905 6.858% 6.858% 6.857% 6.857% 6.857%
100:16 -3,573,270 6.783% 6.783% 6.783% 6.783% 6.781%
101 -1,786,635 6.709% 6.709% 6.709% 6.708% 6.706%
101:16 $362,686,905 6.636% 6.635% 6.635% 6.634% 6.632%
102 +1,786,635 6.562% 6.562% 6.562% 6.561% 6.558%
102:16 +3,573,270 6.490% 6.489% 6.489% 6.488% 6.484%
103 +5,359,905 6.418% 6.417% 6.416% 6.415% 6.411%
103:16 +7,146,540 6.346% 6.345% 6.344% 6.343% 6.338%
SPREAD 105.3b 105.3b 105.3b 105.3b 105.4b
RETURN 6.600% 6.599% 6.599% 6.598% 6.594%
LIFE 9.268 9.252 9.234 9.209 9.085
DURATION 6.711 6.703 6.693 6.680 6.614
CONVEXITY 0.573 0.571 0.569 0.567 0.555
WINDOW Dec 07, Apr 09 Oct 07, Apr 09 Sep 07, Apr 09 Aug 07, Apr 09 Jul 07, Jan 09
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
FACTOR SCHEDULED PREPAID
DATE COUPON EOP SUB PRINCIPAL PRINCIPAL ACCRUAL INTEREST LOSS PREMIUM CASHFLOW SOP BALANCE EOP BALANCE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7/15/99 0.068 1 0.275000478 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
8/15/99 0.068 1 0.275322973 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
9/15/99 0.068 1 0.275594889 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
10/15/99 0.068 1 0.275869062 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
11/15/99 0.068 1 0.27619893 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
12/15/99 0.068 1 0.276478123 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
1/15/00 0.068 1 0.276813196 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
2/15/00 0.068 1 0.277097526 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
3/15/00 0.068 1 0.277384239 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
4/15/00 0.068 1 0.277780844 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
5/15/00 0.068 1 0.278073313 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
6/15/00 0.068 1 0.278422116 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
7/15/00 0.068 1 0.278720535 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
8/15/00 0.068 1 0.279075785 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
9/15/00 0.068 1 0.279379751 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
10/15/00 0.068 1 0.279686303 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
11/15/00 0.068 1 0.280049954 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
12/15/00 0.068 1 0.280362215 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
1/15/01 0.068 1 0.280731788 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
2/15/01 0.068 1 0.281049896 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
3/15/01 0.068 1 0.281370738 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
4/15/01 0.068 1 0.281859648 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
5/15/01 0.068 1 0.282187484 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
6/15/01 0.068 1 0.282573177 0 0 0 2.024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
7/15/01 0.068 1 0.282907766 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
8/15/01 0.068 1 0.283300431 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
9/15/01 0.068 1 0.283641359 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
10/15/01 0.068 1 0.283985267 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
11/15/01 0.068 1 0.284387558 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
12/15/01 0.068 1 0.284738 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
1/15/02 0.068 1 0.285147065 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
2/15/02 0.068 1 0.285504203 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
3/15/02 0.068 1 0.285864498 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
4/15/02 0.068 1 0.286396047 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
5/15/02 0.068 1 0.286764264 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
6/15/02 0.068 1 0.287191723 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
7/15/02 0.068 1 0.287567821 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
8/15/02 0.068 1 0.288004264 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
9/15/02 0.068 1 0.288388174 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
10/15/02 0.068 1 0.288775542 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
11/15/02 0.068 1 0.289223099 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
12/15/02 0.068 1 0.289618005 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
1/15/03 0.068 1 0.290073372 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
</TABLE>
The information contained herein is privileged, confidential and intended for
use only by the addressee and shall not be republished without the express
approval of PaineWebber. The prices indicated reflect a bid side estimated
valuation unless otherwise indicated. No assurance can be given as to the
accuracy, appropriateness or the completeness of this information and the prices
indicated may differ from values provided by PaineWebber in other contexts.
Market indications in the subject securities may vary greatly among dealers.
Unless otherwise indicated, PaineWebber utilized its own methods for the
valuation which may not comport with your own designated models, criteria,
assumptions or regulatory requirements. The material is provided for information
purposes only and is not intended as an offer or solicitation to purchase or
sell the securities specified.
<PAGE>
<TABLE>
<CAPTION>
FACTOR SCHEDULED PREPAID
DATE COUPON EOP SUB PRINCIPAL PRINCIPAL ACCRUAL INTEREST LOSS PREMIUM CASHFLOW SOP BALANCE EOP BALANCE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2/15/03 0.068 1 0.290476009 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
3/15/03 0.068 1 0.290882317 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
4/15/03 0.068 1 0.291463818 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
5/15/03 0.068 1 0.291879189 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
6/15/03 0.068 1 0.292355719 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
7/15/03 0.068 1 0.292779948 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
8/15/03 0.068 1 0.293265624 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
9/15/03 0.068 1 0.294293255 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
10/15/03 0.068 1 0.294731188 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
11/15/03 0.068 1 0.295231098 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
12/15/03 0.068 1 0.297303411 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
1/15/04 0.068 1 0.297815358 0 0 0 2,024,853,00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
2/15/04 0.068 1 0.298273748 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
3/15/04 0.068 1 0.298739877 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
4/15/04 0.068 1 0.299327782 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
5/15/04 0.068 1 0.29980392 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
6/15/04 0.068 1 0.30034348 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
7/15/04 0.068 1 0.300830007 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
8/15/04 0.068 1 0.301380296 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
9/15/04 0.068 1 0.301876781 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
10/15/04 0.068 1 0.302378052 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
11/15/04 0.068 1 0.30294357 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
12/15/04 0.068 1 0.303455158 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
1/15/05 0.068 1 0.304033079 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
2/15/05 0.068 1 0.304557008 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
3/15/05 0.068 1 0.305086067 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
4/15/05 0.068 1 0.305800324 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
5/15/05 0.068 1 0.31206137 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
6/15/05 0.068 1 0.312682704 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
7/15/05 0.068 1 0.313249699 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
8/15/05 0.068 1 0.313883893 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
9/15/05 0.068 1 0.314462897 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357.327,000.00
10/15/05 0.068 1 0.315047714 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
11/15/05 0.068 1 0.315700315 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
12/15/05 0.068 1 0.316297602 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
1/15/06 0.068 1 0.316963114 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
2/15/06 0.068 1 0.317573231 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
3/15/06 0.068 1 0.318189572 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
4/15/06 0.068 1 0.318999978 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
5/15/06 0.068 1 0.319630975 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
6/15/06 0.068 1 0.326551706 0 0 0 2.024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
7/15/06 0.068 1 0.32721648 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
8/15/06 0.068 1 0.33049761 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
9/15/06 0.068 1 0.331184396 0 0 0 2,024,853.00 0 0 2,024,853.00 357,327,000.00 357,327,000.00
</TABLE>
The information contained herein is privileged, confidential and intended for
use only by the addressee and shall not be republished without the express
approval of PaineWebber. The prices indicated reflect a bid side estimated
valuation unless otherwise indicated. No assurance can be given as to the
accuracy, appropriateness or the completeness of this information and the prices
indicated may differ from values provided by PaineWebber in other contexts.
Market indications in the subject securities may vary greatly among dealers.
Unless otherwise indicated, PaineWebber utilized its own methods for the
valuation which may not comport with your own designated models, criteria,
assumptions or regulatory requirements. The material is provided for information
purposes only and is not intended as an offer or solicitation to purchase or
sell the securities specified.
<PAGE>
<TABLE>
<CAPTION>
FACTOR SCHEDULED PREPAID
DATE COUPON EOP SUB PRINCIPAL PRINCIPAL ACCRUAL INTEREST LOSS PREMIUM CASHFLOW
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10/15/06 0.068 1 0.331878402 0 0 0 2,024,853.00 0 0 2,024,853.00
11/15/06 0.068 1 0.33264483 0 0 0 2,024,853.00 0 0 2,024,853.00
12/15/06 0.068 1 0.333354253 0 0 0 2,024,853.00 0 0 2,024,853.00
1/15/07 0.068 1 0.334136639 0 0 0 2,024,853.00 0 0 2,024,853.00
2/15/07 0.068 1 0.334861945 0 0 0 2,024,853.00 0 0 2,024,853.00
3/15/07 0.068 1 0.335595013 0 0 0 2,024,853.00 0 0 2,024,853.00
4/15/07 0.068 1 0.336533697 0 0 0 2,024,853.00 0 0 2,024,853.00
5/15/07 0.068 1 0.337284776 0 0 0 2,024,853.00 0 0 2,024,853.00
6/15/07 0,068 1 0.339767489 0 0 0 2,024,853.00 0 0 2,024,853.00
7/15/07 0.068 1 0.346492092 0 0 0 2,024,853.00 0 0 2,024,853.00
8/15/07 0.068 1 0.347363088 0 0 0 2,024,853.00 0 0 2,024,853.00
9/15/07 0.068 1 0.348175795 0 0 0 2,024,853.00 0 0 2,024,853.00
10/15/07 0.068 1 0.348997464 0 0 0 2,024,853.00 0 0 2,024,853.00
11/15/07 0.068 1 0.349896587 0 0 0 2,024,853.00 0 0 2,024,853.00
12/15/07 0.068 0.999997241 0.350737329 985.71 0 0 2,024,853.00 0 0 2,025,838.71
1/15/08 0.068 0.949622069 0.351656189 18,000,409.35 0 0 2,024,847.41 0 0 20,025,256.76
2/15/08 0.068 0.945913879 0.363529244 1,325,036.42 0 0 1,922,845.09 0 0 3,247,881.51
3/15/08 0.068 0.91730684 0.364434997 10,222,067.17 0 0 1,915,336.55 0 0 12,137,403.72
4/15/08 0.068 0.913591356 0.371577168 1,327,642.98 0 0 1,857,411.51 0 0 3,185,054.49
5/15/08 0.068 0.905370922 0.372525387 2,937,382.93 0 0 1,849,888.20 0 0 4,787,271.13
6/15/08 0.068 0.76016277 0.374640599 51,886,793.27 0 0 1,833,243.03 0 0 53,720,036.30
7/15/08 0.068 0.693650744 0.416405408 23,766,542.79 0 0 1,539,217.87 0 0 25,305,760.66
8/15/08 0.068 0.606895179 0.438812409 31,000,105.76 0 0 1,404,540.79 0 0 32,404,646.55
9/15/08 0.068 0.511394195 0.47193684 34,125,080.18 0 0 1,228,873.52 0 0 35,353,953.70
10/15/08 0.068 0.234744763 0.514706917 98,854,311.69 0 0 1,035,498.07 0 0 99,889,809.76
11/15/08 0.068 0.141528379 0.69793559 33,308,730.73 0 0 475,323.64 0 0 33,784,054.37
12/15/08 0.068 0.125238714 0.793062481 5,820,737.22 0 0 286,574.16 0 0 6,107,311.38
1/15/09 0.068 0.088614588 0.81241264 13,086,788.99 0 0 253,589.98 0 0 13,340,378 97
2/15/09 0.068 0.083226277 0.859565865 1,925,388.94 0 0 179,431.51 0 0 2,104,820.45
3/15/09 0.068 0.073419964 0.866969137 3,504,060.22 0 0 168,520.98 0 0 3,672,581.20
4/15/09 0.068 0 0.880774971 26,234,935.65 0 0 148,664.64 0 0 26,383,600.29
</TABLE>
<TABLE>
<CAPTION>
SOP BALANCE EOP BALANCE
<S> <C>
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,327,000.00
357,327,000.00 357,326,014.29
357,326,014.29 339,325,604.94
339,325,604.94 338,000,568.52
338,000,568.52 327,778,501.35
327,778,501.35 326,450,858.37
326,450,858.37 323,513,475.44
323,513,475.44 271,626,682.17
271,626,682.17 247,860,139.38
247,860,139.38 216,860,033.62
216,860,033.62 182,734,953.44
182,734,951.44 83,880,641.75
83,880,641.75 50,571,911.02
50,571,911.02 44,751,173.80
44,751,173.80 31,664,384.81
31,664,384.81 29,738,995.87
29,738,995.87 26,234,935.65
26,234,935.65 0
</TABLE>
The information contained herein is privileged, confidential and intended for
use only by the addressee and shall not be republished without the express
approval of PaineWebber. The prices indicated reflect a bid side estimated
valuation unless otherwise indicated. No assurance can be given as to the
accuracy, appropriateness or the completeness of this information and the prices
indicated may differ from values provided by PaineWebber in other contexts.
Market indications in the subject securities may vary greatly among dealers.
Unless otherwise indicated, PaineWebber utilized its own methods for the
valuation which may not comport with your own designated models, criteria,
assumptions or regulatory requirements. The material is provided for information
purposes only and is not intended as an offer or solicitation to purchase or
sell the securities specified.
<PAGE>
<TABLE>
<CAPTION>
FACTOR SCHEDULED PREPAID
DATE COUPON EOP SUB PRINCIPAL PRINCIPAL ACCRUAL INTEREST LOSS PREMIUM
- ---- -------- ----------- ------------- -------------- ------------- ------- ------------ ---- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7/15/99 0.068 1 0.275000478 0 0 0 2,024,853.00 0 0
8/15/99 0.068 1 0.275322973 0 0 0 2,024,853.00 0 0
9/15/99 0.068 1 0.275594889 0 0 0 2,024,853.00 0 0
10/15/99 0.068 1 0.275869062 0 0 0 2,024,853.00 0 0
11/15/99 0.068 1 0.27619893 0 0 0 2,024,853.00 0 0
12/15/99 0.068 1 0.276478123 0 0 0 2,024,853.00 0 0
1/15/00 0.068 1 0.276813196 0 0 0 2,024,853.00 0 0
2/15/00 0.068 1 0.277097526 0 0 0 2,024,853.00 0 0
3/15/00 0.068 1 0.277384239 0 0 0 2,024,853.00 0 0
4/15/00 0.068 1 0.277780844 0 0 0 2,024,853.00 0 0
5/15/00 0.068 1 0.278073313 0 0 0 2,024,853.00 0 0
6/15/00 0.068 1 0.28345879 0 0 0 2,024,853.00 0 0
7/15/00 0.068 1 0.283764186 0 0 0 2,024,853.00 0 0
8/15/00 0.068 1 0.284127398 0 0 0 2,024,853.00 0 0
9/15/00 0.068 1 0.284438476 0 0 0 2,024,853.00 0 0
10/15/00 0.068 1 0.284752203 0 0 0 2,024,853.00 0 0
11/15/00 0.068 1 0.285124019 0 0 0 2,024,853.00 0 0
12/15/00 0.068 1 0.285443593 0 0 0 2,024,853.00 0 0
1/15/01 0.068 1 0.285821473 0 0 0 2,024,853.00 0 0
2/15/01 0.068 1 0.286147036 0 0 0 2,024,853.00 0 0
3/15/01 0.068 1 0.2864754 0 0 0 2,024,853.00 0 0
4/15/01 0.068 1 0.286974727 0 0 0 2,024,853.00 0 0
5/15/01 0.068 1 0.287310249 0 0 0 2,024,853.00 0 0
6/15/01 0.068 1 0.287704635 0 0 0 2,024,853.00 0 0
7/15/01 0.068 1 0.28804708 0 0 0 2,024,853.00 0 0
8/15/01 0.068 1 0.288448615 0 0 0 2,024,853.00 0 0
9/15/01 0.068 1 0.288797554 0 0 0 2,024,853.00 0 0
10/15/01 0.068 1 0.289149547 0 0 0 2,024,853.00 0 0
11/15/01 0.068 1 0.289560943 0 0 0 2,024,853.00 0 0
12/15/01 0.068 1 0.28991963 0 0 0 2,024,853.00 0 0
1/15/02 0.068 1 0.290337964 0 0 0 2,024,853.00 0 0
2/15/02 0.068 1 0.29070351 0 0 0 2,024,853.00 0 0
3/15/02 0.068 1 0.291072292 0 0 0 2,024,853.00 0 0
4/15/02 0.068 1 0.291615296 0 0 0 2,024,853.00 0 0
5/15/02 0.068 1 0.291992189 0 0 0 2,024,853.00 0 0
6/15/02 0.068 1 0.292429362 0 0 0 2,024,853.00 0 0
7/15/02 0.068 1 0.292814339 0 0 0 2,024,853.00 0 0
8/15/02 0.068 1 0.293260738 0 0 0 2,024,853.00 0 0
9/15/02 0.068 1 0.293653725 0 0 0 2,024,853.00 0 0
10/15/02 0.068 1 0.294050257 0 0 0 2,024,853.00 0 0
11/15/02 0.068 1 0.294508045 0 0 0 2,024,853.00 0 0
12/15/02 0.068 1 0.294912302 0 0 0 2,024,853.00 0 0
1/15/03 0.068 1 0.295378093 0 0 0 2,024,853.00 0 0
<CAPTION>
SOP EOP
CASHFLOW BALANCE BALANCE
------------- -------------- --------------
<C> <C> <C>
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327.000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024.853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024.853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
</TABLE>
The information contained herein is privileged, confidential and intended for
use only by the addressee and shall not be republished without the express
approval of PaineWebber. The prices indicated reflect a bid side estimated
valuation unless otherwise indicated. No assurance can be given as to the
accuracy, appropriateness or the completeness of this information and the prices
indicated may differ from values provided by PaineWebber in other contexts.
Market indications in the subject securities may vary greatly among dealers.
Unless otherwise indicated, PaineWebber utilized its own methods for the
valuation which may not comport with your own designated models, criteria,
assumptions or regulatory requirements. The material is provided for information
purposes only and is not intended as an offer or solicitation to purchase or
sell the securities specified.
<PAGE>
<TABLE>
<CAPTION>
FACTOR SCHEDULED PREPAID
DATE COUPON EOP SUB PRINCIPAL PRINCIPAL ACCRUAL INTEREST LOSS PREMIUM
- ---- -------- ---------- ------------- ------------- --------- ------- ------------ ---- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2/15/03 0.068 1 0.295790272 0 0 0 2,024,853.00 0 0
3/15/03 0.068 1 0.296206215 0 0 0 2,024,853.00 0 0
4/15/03 0.068 1 0.296800414 0 0 0 2,024,853.00 0 0
5/15/03 0.068 1 0.29722564 0 0 0 2,024,853.00 0 0
6/15/03 0.068 1 0.297713114 0 0 0 2,024,853.00 0 0
7/15/03 0.068 1 0.298147426 0 0 0 2,024,853.00 0 0
8/15/03 0.068 1 0.298644282 0 0 0 2,024,853.00 0 0
9/15/03 0.068 1 0.299704263 0 0 0 2,024,853.00 0 0
10/15/03 0.068 1 0.300152648 0 0 0 2,024,853.00 0 0
11/15/03 0.068 1 0.300664122 0 0 0 2,024,853.00 0 0
12/15/03 0.068 1 0.302807687 0 0 0 2,024,853.00 0 0
1/15/04 0.068 1 0.303331563 0 0 0 2,024,853.00 0 0
2/15/04 0.068 1 0.30380098 0 0 0 2,024,853.00 0 0
3/15/04 0.068 1 0.304278377 0 0 0 2,024,853.00 0 0
4/15/04 0.068 1 0.304879721 0 0 0 2,024,853.00 0 0
5/15/04 0.068 1 0.305367378 0 0 0 2,024,853.00 0 0
6/15/04 0.068 1 0.305919609 0 0 0 2,024,853.00 0 0
7/15/04 0.068 1 0.30641793 0 0 0 2,024,853.00 0 0
8/15/04 0.068 1 0.306981173 0 0 0 2,024,853.00 0 0
9/15/04 0.068 1 0.307489709 0 0 0 2,024,853.00 0 0
10/15/04 0.068 1 0.308003155 0 0 0 2,024,853.00 0 0
11/15/04 0.068 1 0.308582019 0 0 0 2,024,853.00 0 0
12/15/04 0.068 1 0.309106049 0 0 0 2,024,853.00 0 0
1/15/05 0.068 1 0.309697657 0 0 0 2,024,853.00 0 0
2/15/05 0.068 1 0.310234366 0 0 0 2,024,853.00 0 0
3/15/05 0.068 1 0.310776342 0 0 0 2,024,853.00 0 0
4/15/05 0.068 1 0.311506828 0 0 0 2,024,853.00 0 0
5/15/05 0.068 1 0.31206137 0 0 0 2,024,853.00 0 0
6/15/05 0.068 1 0.312682704 0 0 0 2,024,853.00 0 0
7/15/05 0.068 1 0.313249699 0 0 0 2,024,853.00 0 0
8/15/05 0.068 1 0.313883893 0 0 0 2,024,853.00 0 0
9/15/05 0.068 1 0.314462897 0 0 0 2,024,853.00 0 0
10/15/05 0.068 1 0.315047714 0 0 0 2,024,853.00 0 0
11/15/05 0.068 1 0.315700315 0 0 0 2,024,853.00 0 0
12/15/05 0.068 1 0.316297602 0 0 0 2,024,853.00 0 0
1/15/06 0.068 1 0.316963114 0 0 0 2,024,853.00 0 0
2/15/06 0.068 1 0.317573231 0 0 0 2,024,853.00 0 0
3/15/06 0.068 1 0.324349652 0 0 0 2,024,853.00 0 0
4/15/06 0.068 1 0.325181677 0 0 0 2,024,853.00 0 0
5/15/06 0.068 1 0.32583137 0 0 0 2,024,853.00 0 0
6/15/06 0.068 1 0.326551706 0 0 0 2,024,853.00 0 0
7/15/06 0.068 1 0.331402886 0 0 0 2,024,853.00 0 0
8/15/06 0.068 1 0.334761855 0 0 0 2,024,853.00 0 0
9/15/06 0.068 1 0.335460197 0 0 0 2,024,853.00 0 0
<CAPTION>
SOP EOP
CASHFLOW BALANCE BALANCE
------------- -------------- --------------
<C> <C> <C>
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
</TABLE>
The information contained herein is privileged, confidential and intended for
use only by the addressee and shall not be republished without the express
approval of PaineWebber. The prices indicated reflect a bid side estimated
valuation unless otherwise indicated. No assurance can be given as to the
accuracy, appropriateness or the completeness of this information and the prices
indicated may differ from values provided by PaineWebber in other contexts.
Market indications in the subject securities may vary greatly among dealers.
Unless otherwise indicated, PaineWebber utilized its own methods for the
valuation which may not comport with your own designated models, criteria,
assumptions or regulatory requirements. The material is provided for information
purposes only and is not intended as an offer or solicitation to purchase or
sell the securities specified.
<PAGE>
<TABLE>
<CAPTION>
FACTOR SCHEDULED PREPAID
DATE COUPON EOP SUB PRINCIPAL PRINCIPAL ACCRUAL INTEREST LOSS PREMIUM
- ---- --------- ----------- ------------- -------------- ------------- ------- --------------- ---- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10/15/06 0.068 1 0.336165892 0 0 0 2,024,853.00 0 0
11/15/06 0.068 1 0.336944977 0 0 0 2,024,853.00 0 0
12/15/06 0.068 1 0.339355197 0 0 0 2,024,853.00 0 0
1/15/07 0.068 1 0.340152546 0 0 0 2,024,853.00 0 0
2/15/07 0.068 1 0.340891925 0 0 0 2,024,853.00 0 0
3/15/07 0.068 1 0.341639209 0 0 0 2,024,853.00 0 0
4/15/07 0.068 1 0.348644633 0 0 0 2,024,853.00 0 0
5/15/07 0.068 1 0.349430348 0 0 0 2,024,853.00 0 0
6/15/07 0.068 1 0.350293002 0 0 0 2,024,853.00 0 0
7/15/07 0.068 0.99856118 0.351097956 514,129.34 0 0 2,024,853.00 0 0
8/15/07 0.068 0.994949325 0.351983909 1,290,613.29 0 0 2,021,939.60 0 0
9/15/07 0.068 0.991314732 0.352810866 1,298,738.01 0 0 2,014,626.13 0 0
10/15/07 0.068 0.940501038 0.353646962 1,413,702.86 16,743,402.27 0 2,007,266.61 0 0
11/15/07 0.068 0.936897351 0.365765255 1,287,694.40 0 0 1,904,376.35 0 0
12/15/07 0.068 0.841898368 0.366656295 1,398,738.86 32,546,962.91 0 1,897,079.41 0 0
1/15/08 0.068 0.825579808 0.391818663 1,251,387.35 4,579,674.57 0 1,704,720.44 0 0
2/15/08 0.068 0.801923574 0.396492682 1,247,637.80 7,205,373.36 0 1,671,677.75 0 0
3/15/08 0.068 0.741300564 0.403469866 1,410,719.64 20,251,518.61 0 1,623,777.35 0 0
4/15/08 0.068 0.681047831 0.422523957 1,198,309.54 20,331,618.88 0 1,501,024.67 0 0
5/15/08 0.068 0.648609624 0.443332716 2,749,107.79 8,841,939.56 0 1,379,021.74 0 0
6/15/08 0.068 0.639288875 0.455407378 3,330,555.24 0 0 1,313,339.14 0 0
7/15/08 0.068 0.588959121 0.458999503 17,984,179.88 0 0 1,294,466.00 0 0
8/15/08 0.068 0.487357584 0.47941878 20,059,842.18 16,245,130.21 0 1,192,555.64 0 0
9/15/08 0.068 0.387828997 0.526721327 31,510,628.72 4,053,622.64 0 986,827.47 0 0
10/15/08 0.068 0.132348155 0.583077763 79,807,061.31 11,483,141.71 0 785,296.71 0 0
11/15/08 0.068 0.098238851 0.803852579 12,188,174.99 0 0 267,985.56 0 0
12/15/08 0.068 0.016769841 0.846652478 3,719,542.25 25,391,535.00 0 198,919.23 0 0
1/15/09 0.068 0 0.970008862 1,593,462.38 4,398,854.45 0 33,956.46 0 0
<CAPTION>
SOP EOP
CASHFLOW BALANCE BALANCE
------------- -------------- --------------
<C> <C> <C>
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2.024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,538,982.34 357,327,000.00 356,812,870.66
3,312,552.89 356,812,870.66 355,522,257.37
3,313,364.14 355,522,257.37 354,223,519.36
20,164,371.74 354,223,519.36 336,066,414.23
3,192,070.75 336,066,414.23 334,778,719.83
35,842,781.18 334,778,719.83 300,833,018.06
7,535,782.36 300,833,018.06 295,001,956.14
10,124,688.91 295,001,956.14 286,548,944.98
23,286,015.60 286,548,944.98 264,886,706.73
23,030,953.09 264,886,706.73 243,356,778.31
12,970,069.09 243,356,778.31 231,765,730.96
4,643,894.38 231,765,730.96 228,435,175.72
19,278,645.88 228,435,175.72 210,450,995.84
37,497,528.03 210,450,995.84 174,146,023.45
36,551,078.83 174,146,023.45 138,581,772.09
92,075,499.73 138,581,772.09 47,291,569.07
12,456,160.55 47,291,569.07 35,103,394.08
29,309,996,48 35,103,394.08 5,992,316.83
6,026,273.29 5,992,316.83 0
</TABLE>
The information contained herein is privileged, confidential and intended for
use only by the addressee and shall not be republished without the express
approval of PaineWebber. The prices indicated reflect a bid side estimated
valuation unless otherwise indicated. No assurance can be given as to the
accuracy, appropriateness or the completeness of this information and the prices
indicated may differ from values provided by PaineWebber in other contexts.
Market indications in the subject securities may vary greatly among dealers.
Unless otherwise indicated, PaineWebber utilized its own methods for the
valuation which may not comport with your own designated models, criteria,
assumptions or regulatory requirements. The material is provided for information
purposes only and is not intended as an offer or solicitation to purchase or
sell the securities specified.
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.71% 4.84% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.71% 4.84% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: A-2 DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/18/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/21/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $74.04mm Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 8.326 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 5.903 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: 0%
Cleanup(1%): Yes Default: table
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond A-2 Rating: AAA /AAA
PRICE VALUE DEFAULTS (9 BY 6) Factor: 100% Coupon: 6.8% Position: $357,327,000 Accrued: $404,971 (6 DAYS) Bench: c
by 0:16 & Change ---------------------------------------------------------------------------------------------------------------
0% 24:0%;1%,12m,35% 24:0%;2%,12m,35% 24:0%;3%,12m,35% 24:0%;4%,12m,35% 24:0%;5%,12m,35%
YIELD YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
99:16 -7,146,540 6.933% 6.933% 6.933% 6.933% 6.933% 6.934%
100 -5,359,905 6.858% 6.857% 6.857% 6.857% 6.857% 6.856%
100:16 -3,573,270 6.783% 6.783% 6.782% 6.781% 6.780% 6.779%
101 -1,786,635 6.709% 6.708% 6.707% 6.706% 6.705% 6.703%
101:16 $362,686,905 6.636% 6.634% 6.633% 6.631% 6.629% 6.627%
102 +1,786,635 6.562% 6.561% 6.559% 6.557% 6.554% 6.551%
102:16 +3,573,270 6.490% 6.488% 6.486% 6.483% 6.480% 6.476%
103 +5,359,905 6.418% 6.416% 6.413% 6.410% 6.406% 6.402%
103:16 +7,146,540 6.346% 6.344% 6.341% 6.337% 6.332% 6.328%
SPREAD 105.3b 105.3b 105.3b 105.3b 105.4b 105.4b
RETURN 6.660% 6.598% 6.596% 6.593% 6.590% 6.586%
LIFE 9.268 9.219 9.156 9.072 8.982 8.887
DURATION 6.711 6.684 6.650 6.603 6.552 6.499
CONVEXITY 0.573 0.568 0.562 0.555 0.546 0.538
WINDOW Dec 07, Apr 09 Jun 07, Apr 09 Dec 06, Apr 09 Jul 06, Apr 09 May 06, Apr 09 Dec 05, Apr 09
LOSS 0.000% 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.71% 4.84% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.71% 4.84% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: A-2 DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/18/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0.52mm Horizon: 5/21/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $73.14mm Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 8.234 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 5.843 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: 50%
Cleanup(1%): Yes Default: table
Premiums: Yes Extend: 0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond A-2 Rating: AAA/AAA
PRICE VALUE DEFAULTS (9 BY 6) Factor: 100% Coupon: 6.8% Position: $357,327,000 Accrued: $404,971 (6 DAYS) Bench: C
by 0:16 & Change -----------------------------------------------------------------------------------------------------------
0% 24:0%;1%,12m,35% 24:0%;2%,12m,35% 24:0%;3%,12m,35% 24:09%;4%,12m,35% 24:0%;5%,12m,35%
YIELD YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
99:16 -7,146,540 6.933% 6.933% 6.933% 6.933% 6.934% 6.934%
100 -5,359,905 6.857% 6.857% 6.857% 6.857% 6.857% 6.856%
100:16 -3,573,270 6.783% 6.782% 6.782% 6.781% 6.780% 6.779%
101 -1,786,635 6.709% 6.708% 6.707% 6.706% 6.704% 6.702%
101:16 $362,686,905 6.635% 6.634% 6.632% 6.631% 6.628% 6.626%
102 +1,786,635 6.562% 6.560% 6.558% 6.556% 6.553% 6.550%
102:16 +3,573,270 6.489% 6.487% 6.485% 6.482% 6.479% 6.475%
103 +5,359,905 6.416% 6.414% 6.412% 6.408% 6.405% 6.400%
103:16 +7,146,540 6.344% 6.342% 6.339% 6.335% 6.331% 6.326%
SPREAD 105.3b 105.3b 105.4b 105.4b 105.4b 105.4b
RETURN 6.599% 6.597% 6.595% 6.592% 6.589% 6.585%
LIFE 9.234 9.181 9.114 9.030 8.941 8.846
DURATION 6.693 6.664 6.627 6.580 6.530 6.476
CONVEXITY 0.569 0.565 0.558 0.551 0.543 0.534
WINDOW Sep 07, Apr 09 May 07, Apr 09 Nov 06, Apr 09 Jun 06, Apr 09 Apr 06, Apr 09 Nov 05, Apr 09
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
16.88mm 32.53mm 47.09mm 60.00mm 73.14mm
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-Mo 6-Mo 1-Yr 2-Yr 5-Yr 10-Yr 30-Yr
------------------------------------------------------
4.71% 4.84% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
4.71% 4.84% 4.83% 5.26% 5.48% 5.6% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: A-2 DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/18/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0.69mm Horizon: 5/21/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $0 Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 9.701 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.484 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): Yes Default: 0%
Premiums: Yes Extend: 100%,24m,0%
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond A-2 Rating: AAA/AAA
PRICE VALUE PREPAYMENTS (9 BY 5) Factor: 100% Coupon: 6.8% Position: $357,327,000 Accrued: $404,971 (6 DAYS) Bench: C
by 0:16 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
99:16 -7,146,540 6.928% 6.929% 6.929% 6.930% 6.931%
100 -5,359,905 6.862% 6.862% 6.861% 6.861% 6.859%
100:16 -3,573,270 6.796% 6.795% 6.794% 6.793% 6.788%
101 -1,786,635 6.731% 6.729% 6.728% 6.725% 6.716%
101:16 $362,686,905 6.666% 6.664% 6.661% 6.658% 6.646%
102 +1,786,635 6.602% 6.599% 6.595% 6.591% 6.576%
102:16 +3,573,270 6.538% 6.534% 6.530% 6.524% 6.506%
103 +5,359,905 6.474% 6.470% 6.465% 6.458% 6.436%
103:16 +7,146,540 6.411% 6.406% 6.400% 6.393% 6.368%
SPREAD 105.0b 105.0b 105.0b 105.0b 105.0b
RETURN 6.586% 6.584% 6.592% 6.602% 6.617%
LIFE 11.087 10.936 10.762 10.536 9.841
DURATION 7.603 7.530 7.445 7.333 6.987
CONVEXITY 0.753 0.738 0.721 0.699 0.630
WINDOW Sep 08, Apr 11 May 08, Apr 11 Apr 08, Jan 11 Jan 08, Dec 10 Oct 07, Oct 10
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
FACTOR SCHEDULED PREPAID
DATE COUPON EOP SUB PRINCIPAL PRINCIPAL ACCRUAL INTEREST LOSS PREMIUM
- ---- --------- ----------- ----------- -------------- --------- ------- ------------ ---- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7/15/99 0.068 1 0.275000478 0 0 0 2,024,853.00 0 0
8/15/99 0.068 1 0.275322973 0 0 0 2,024,853.00 0 0
9/15/99 0.068 1 0.275594889 0 0 0 2,024,853.00 0 0
10/15/99 0.068 1 0.275869062 0 0 0 2,024,853.00 0 0
11/15/99 0.068 1 0.27619893 0 0 0 2,024,853.00 0 0
12/15/99 0.068 1 0.276478123 0 0 0 2,024,853.00 0 0
1/15/00 0.068 1 0.276813196 0 0 0 2,024,853.00 0 0
2/15/00 0.068 1 0.277097526 0 0 0 2,024,853.00 0 0
3/15/00 0.068 1 0.277384239 0 0 0 2,024,853.00 0 0
4/15/00 0.068 1 0.277780844 0 0 0 2,024,853.00 0 0
5/15/00 0.068 1 0.278073313 0 0 0 2,024,853.00 0 0
6/15/00 0.068 1 0.278422116 0 0 0 2,024,853.00 0 0
7/15/00 0.068 1 0.278720535 0 0 0 2,024,853.00 0 0
8/15/00 0.068 1 0.279075785 0 0 0 2,024,853.00 0 0
9/15/00 0.068 1 0.279379751 0 0 0 2,024,853.00 0 0
10/15/00 0.068 1 0.279686303 o 0 0 2,024,853.00 0 0
11/15/00 0.068 1 0.280049954 0 0 0 2,024,853.00 0 0
12/15/00 0.068 1 0.280362215 0 0 0 2,024,853.00 0 0
1/15/01 0.068 1 0.280731788 0 0 0 2,024,853.00 0 0
2/15/01 0.068 1 0.281049896 0 0 0 2,024,853.00 0 0
3/15/01 0.068 1 0.281370738 0 0 0 2,024,853.00 0 0
4/15/01 0.068 1 0.281859648 0 0 0 2,024,853.00 0 0
5/15/01 0.068 1 0.282187484 0 0 0 2,024,853.00 0 0
6/15/01 0.068 1 0.282573177 0 0 0 2,024,853.00 0 0
7/15/01 0.068 1 0.282907766 0 0 0 2,024,853.00 0 0
8/15/01 0.068 1 0.283300431 0 0 0 2,024,853.00 0 0
9/15/01 0.068 1 0.283641359 0 0 0 2,024,853.00 0 0
10/15/01 0.068 1 0.283985267 0 0 0 2,024,853.00 0 0
11/15/01 0.068 1 0.284387558 0 0 0 2,024,853.00 0 0
12/15/01 0.068 1 0.284738 0 0 0 2,024,853.00 0 0
1/15/02 0.068 1 0.285147065 0 0 0 2,024,853.00 0 0
2/15/02 0.068 1 0.285504203 0 0 0 2,024,853.00 0 0
3/15/02 0.068 1 0.285864498 0 0 0 2,024,853.00 0 0
4/15/02 0.068 1 0.286396047 0 0 0 2,024,853.00 0 0
5/15/02 0.068 1 0.286764264 0 0 0 2,024,853.00 0 0
6/15/02 0.068 1 0.287191723 0 0 0 2,024,853.00 0 0
7/15/02 0.068 1 0.287567821 0 0 0 2,024,853.00 0 0
8/15/02 0.068 1 0.288004264 0 0 0 2,024,853.00 0 0
9/15/02 0.068 1 0.288388174 0 0 0 2,024,853.00 0 0
10/15/02 0.068 1 0.288775542 0 0 0 2,024,853.00 0 0
11/15/02 0.068 1 0.289223099 0 0 0 2,024,853.00 0 0
12/15/02 0.068 1 0.289618005 0 0 0 2,024,853.00 0 0
1/15/03 0.068 1 0.290073372 0 0 0 2,024,853.00 0 0
<CAPTION>
SOP EOP
CASHFLOW BALANCE BALANCE
------------- -------------- --------------
<C> <C> <C>
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
</TABLE>
The information contained herein is privileged, confidential and intended for
use only by the addressee and shall not be republished without the express
approval of PaineWebber. The prices indicated reflect a bid side estimated
valuation unless otherwise indicated. No assurance can be given as to the
accuracy, appropriateness or the completeness of this information and the prices
indicated may differ from values provided by PaineWebber in other contexts.
Market indications in the subject securities may vary greatly among dealers.
Unless otherwise indicated, PaineWebber utilized its own methods for the
valuation which may not comport with your own designated models, criteria,
assumptions or regulatory requirements. The material is provided for information
purposes only and is not intended as an offer or solicitation to purchase or
sell the securities specified.
<PAGE>
<TABLE>
<CAPTION>
FACTOR SCHEDULED PREPAID
DATE COUPON EOP SUB PRINCIPAL PRINCIPAL ACCRUAL INTEREST LOSS PREMIUM
- ---- ------ ----------- ------------- -------------- --------- ------- ------------- ---- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2/15/03 0.068 1 0.290476009 0 0 0 2,024,853.00 0 0
3/15/03 0.068 1 0.290882317 0 0 0 2,024,853.00 0 0
4/15/03 0.068 1 0.291463818 0 0 0 2,024,853.00 0 0
5/15/03 0.068 1 0.291879189 0 0 0 2,024,853.00 0 0
6/15/03 0.068 1 0.292355719 0 0 0 2,024,853.00 0 0
7/15/03 0.068 1 0.292779948 0 0 0 2,024,893.00 0 0
8/15/03 0.068 1 0.293265624 0 0 0 2,024,853.00 0 0
9/15/03 0.068 1 0.293698285 0 0 0 2,024,853.00 0 0
10/15/03 0.068 1 0.294134969 0 0 0 2,024,853.00 0 0
11/15/03 0.068 1 0.294633508 0 0 0 2,024,853.00 0 0
12/15/03 0.068 1 0.295078912 0 0 0 2,024,853.00 0 0
1/15/04 0.068 1 0.295586483 0 0 0 2,024,853.00 0 0
2/15/04 0.068 1 0.296040837 0 0 0 2,024,853.00 0 0
3/15/04 0.068 1 0.296502841 0 0 0 2,024,853.00 0 0
4/15/04 0.068 1 0.297085815 0 0 0 2,024,853.00 0 0
5/15/04 0.068 1 0.29755774 o 0 0 2,024,853.00 0 0
6/15/04 0.068 1 0.298092663 0 0 0 2,024,853.00 0 0
7/15/04 0.068 1 0.298574882 0 0 0 2,024,853.00 0 0
8/15/04 0.068 1 0.299120436 0 0 0 2,024,853.00 0 0
9/15/04 0.068 1 0.299612525 0 0 0 2,024,853.00 0 0
10/15/04 0.068 1 0.300109358 0 0 0 2,024,853.00 0 0
11/15/04 0.068 1 0.300670005 0 0 0 2,024,853.00 0 0
12/15/04 0.068 1 0.301177065 0 0 0 2,024,853.00 0 0
1/15/05 0.068 1 0.301749995 0 0 0 2,024,853.00 0 0
2/15/05 0.068 1 0.302269275 0 0 0 2,024,853.00 0 0
3/15/05 0.068 1 0.302793639 0 0 0 2,024,853.00 0 0
4/15/05 0.068 1 0.303501973 0 0 0 2,024,853.00 0 0
5/15/05 0.068 1 0.304038487 0 0 0 2,024,853.00 0 0
6/15/05 0.068 1 0.304640143 0 0 0 2,024,853.00 0 0
7/15/05 0.068 1 0.305188672 0 0 0 2,024,853.00 0 0
8/15/05 0.068 1 0.305802737 0 0 0 2,024,853.00 0 0
9/15/05 0.068 1 0.306993749 0 0 0 2,024,853.00 0 0
10/15/05 0.068 1 0.307561145 0 0 0 2,024,853.00 0 0
11/15/05 0.068 1 0.308194778 0 0 0 2,024,853.00 0 0
12/15/05 0.068 1 0.310477679 0 0 0 2,024,853.00 0 0
1/15/06 0.068 1 0.311127621 0 0 0 2,024,853.00 0 0
2/15/06 0.068 1 0.311723079 0 0 0 2,024,853.00 0 0
3/15106 0.068 1 0.3123246 0 0 0 2,024,853.00 0 0
4/15/06 0.068 1 0.31311674 0 0 0 2,024,853.00 0 0
5/15/06 0.068 1 0.313732546 0 0 0 2,024,853.00 0 0
6/15/06 0.068 1 0.314416444 0 0 0 2,024,853.00 0 0
7/15/06 0.068 1 0.315046465 0 0 0 2,024,853.00 0 0
8/15/06 0.068 1 0.315745042 0 0 0 2,024,853.00 0 0
9/15/06 0.068 1 0.316388865 0 0 0 2,024,853.00 0 0
<CAPTION>
SOP EOP
CASHFLOW BALANCE BALANCE
------------- -------------- --------------
<C> <C> <C>
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
</TABLE>
The information contained herein is privileged, confidential and intended for
use only by the addressee and shall not be republished without the express
approval of PaineWebber. The prices indicated reflect a bid side estimated
valuation unless otherwise indicated. No assurance can be given as to the
accuracy, appropriateness or the completeness of this information and the prices
indicated may differ from values provided by PaineWebber in other contexts.
Market indications in the subject securities may vary greatly among dealers.
Unless otherwise indicated, PaineWebber utilized its own methods for the
valuation which may not comport with your own designated models, criteria,
assumptions or regulatory requirements. The material is provided for information
purposes only and is not intended as an offer or solicitation to purchase or
sell the securities specified.
<PAGE>
<TABLE>
<CAPTION>
FACTOR SCHEDULED PREPAID
DATE COUPON EOP SUB PRINCIPAL PRINCIPAL ACCRUAL INTEREST LOSS PREMIUM
- ---- --------- ----------- ------------- -------------- ------------- ------- --------------- ---- ------ --
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10/15/06 0.068 1 0.317039408 0 0 0 2,024,853.00 0 0
11/15/06 0.068 1 0.317759184 0 0 0 2,024,853.00 0 0
12/15/06 0.068 1 0.318424091 0 0 0 2,024,853.00 0 0
1/15/07 0.068 1 0.319158735 0 0 0 2,024,853.00 0 0
2/15/07 0.068 1 0.319838438 0 0 0 2,024,853.00 0 0
3/15/07 0.068 1 0.32052536 0 0 0 2,024,853.00 0 0
4/15/07 0.068 1 0.321409156 0 0 0 2,024,853.00 0 0
5/15/07 0.068 1 0.328216299 0 0 0 2,024,853.00 0 0
6/15/07 0.068 1 0.329009964 0 0 0 2,024,853.00 0 0
7/15/07 0.068 1 0.329748739 0 0 0 2,024,853.00 0 0
8/15/07 0.068 1 0.330563508 0 0 0 2,024,853.00 0 0
9/15/07 0.068 1 0.331322236 0 0 0 2,024,853.00 0 0
10/15/07 0.068 1 0.332089279 0 0 0 2,024,853.00 0 0
11/15/07 0.068 1 0.332930164 0 0 0 2,024,853.00 0 0
12/15/07 0.068 1 0.333714915 0 0 0 2,024,853.00 0 0
1/15/08 0.068 1 0.334574128 o 0 0 2,024,853.00 0 0
2/15/08 0.068 1 0.335377147 0 0 0 2,024,853.00 0 0
3/15/08 0.068 1 0.336189139 0 0 0 2,024,853.00 0 0
4/15/08 0.068 1 0.337142814 0 0 0 2,024,853.00 0 0
5/15/08 0.068 1 0.337974668 0 0 0 2,024,853.00 0 0
6/15/08 0.068 1 0.345651654 0 0 0 2,024,853.00 0 0
7/15/08 0.068 1 0.346529351 0 0 0 2,024,853.00 0 0
8/15/08 0.068 1 0.350257663 0 0 0 2,024,853.00 0 0
9/15/08 0.068 0.997984566 0.351181287 720,169.03 0 0 2,024,853.00 0 0
10/15/08 0.068 0.9935589 0.352115668 1,581,409.74 0 0 2,020,772.04 0 0
11/15/08 0.068 0.988795395 0.35313025 1,702,129.22 0 0 2,011,810.72 0 0
12/15/08 0.068 0.983702473 0.354228835 1,819,838.40 0 0 2,002,165.32 0 0
1/15/09 0.068 0.978877486 0.355410979 1,724,098.20 0 0 1,991,852.90 0 0
2/15/09 0.068 0.97399881 0.356538232 1,743,282.76 0 0 1,982,083.01 0 0
3/15/09 0.068 0.968198927 0.357685322 2,072,454.84 0 0 1,972,204.41 0 0
4/15/09 0.068 0.963253558 0.359058649 1,767,113.70 0 0 1,960,460.50 0 0
5/15/09 0.068 0.950852933 0.360237997 4,431,078.16 0 0 1,950,446.86 0 0
6/15/09 0.068 0.919381307 0.36322959 11,245,661.66 0 0 1,925,337.41 0 0
7/15/09 0.068 0.914068626 0.371049846 1,898,364.36 0 0 1,861,612.00 0 0
8/15/09 0.068 0.90900842 0.372403314 1,808,148.17 0 0 1,850,854.60 0 0
9/15/09 0.068 0.90391673 0.373701674 1,819,398.52 0 0 1,840,608.43 0 0
10/15/09 0.068 0.898510788 0.375017282 1,931,688.72 0 0 1,830,298.50 0 0
11/15/09 0.068 0.893353834 0.376424264 1,842,719.12 0 0 1,819,352.27 0 0
12/15/09 0.068 0.887977137 0.377776318 1,921,238.94 0 0 1,808,910.19 0 0
1/15/10 0.068 0.838370577 0.379196365 17,725,763.13 0 0 1,798,023.17 0 0
2/15/10 0.068 0.833237547 0.392819745 1,834,170.37 0 0 1,697,577.18 0 0
3/15/10 0.068 0.804153139 0.394285517 10,392,644.38 0 0 1,687,183.55 0 0
4/15/10 0.068 0.79900113 0.402801813 1,840,951.64 0 0 1,628,291.90 0 0
5/15/10 0.068 0.792726796 0.404348892 2,241,989.12 0 0 1,617,859.84 0 0
<CAPTION>
SOP EOP
CASHFLOW BALANCE BALANCE
------------- -------------- ------------
<C> <C> <C>
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357.327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,024,853.00 357,327,000.00 357,327,000.00
2,745,022.03 357,327,000.00 356,606,830.97
3,602,181.78 356,606,830.97 355,025,421.23
3,713,939.94 355,025,421.23 353,323,292.01
3,822,003.72 353,323,292.01 351,503,453.61
3,715,951.10 351,503,453.61 349,779,355.41
3,725,365.77 349,779,355.41 348,036,072.65
4,044,659.25 348,036,072.65 345,963,617.81
3,727,574.20 345,963,617.81 344,196,504.11
6,381,525.02 344,196,504.11 339,765,425.95
13,170,999.07 339,765,425.95 328,519,764.29
3,759,976.36 328,519,764.29 326,621,399.93
3,659,002.77 326,621,399.93 324,813,251.76
3,660,006.95 324,813,251.76 322,993,853.24
3,761,987.22 322,993,853.24 321,062,164.52
3,662,071.39 321,062,164.52 319,219,445.40
3,730,149.13 319,219,445.40 317,298,206.46
19,523,786.30 317,298,206.46 299,572,443.33
3,531,747.55 299,572,443.33 297,738,272.96
12,079,827.93 297,738,272.96 287,345,628.58
3,469,243.54 287,345,628.58 285,504,676.94
3,859,848.96 285,504,676.94 283,262,687.82
</TABLE>
The information contained herein is privileged, confidential and intended for
use only by the addressee and shall not be republished without the express
approval of PaineWebber. The prices indicated reflect a bid side estimated
valuation unless otherwise indicated. No assurance can be given as to the
accuracy, appropriateness or the completeness of this information and the prices
indicated may differ from values provided by PaineWebber in other contexts.
Market indications in the subject securities may vary greatly among dealers.
Unless otherwise indicated, PaineWebber utilized its own methods for the
valuation which may not comport with your own designated models, criteria,
assumptions or regulatory requirements. The material is provided for information
purposes only and is not intended as an offer or solicitation to purchase or
sell the securities specified.
<PAGE>
<TABLE>
<CAPTION>
FACTOR SCHEDULED PREPAID
DATE COUPON EOP SUB PRINCIPAL PRINCIPAL ACCRUAL INTEREST LOSS PREMIUM
- ---- ------ ----------- ----------- ------------- ------------- ------- ------------ ---- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6/15/10 0.068 0.654428275 0.406249116 49,417,795.57 0 0 1,605,155.23 0 0
7/15/10 0.068 0.591562047 0.453193294 22,463,800.85 0 0 1,325,121.06 0 0
8/15/10 0.068 0.509720741 0.4783183 29,244,108.19 0 0 1,197,826.18 0 0
9/15/10 0.068 0.418128487 0.515525594 32,728,385.32 0 0 1,032,109.57 0 0
10/15/10 0.068 0.170063203 0.564684616 88,640,423.84 0 0 846,648.72 0 0
11/15/10 0.068 0.084083779 0.761299135 30,722,769.40 0 0 344,352.99 0 0
12/15/10 0.068 0.068602329 0.865782451 5,531,940.10 0 0 170,257.29 0 0
1/15/11 0.068 0.034880371 0.887719824 12,049,766.13 0 0 138,909.63 0 0
2/15/11 0.068 0.029358784 0.939577066 1,973,012.12 0 0 70,627.62 0 0
3/15/11 0.068 0.020073593 0.948650905 3,317,849.61 0 0 59,447.22 0 0
4/15/11 0.068 0 0.964311305 7,172,836.69 0 0 40,646.07 0 0
<CAPTION>
SOP EOP
CASHFLOW BALANCE BALANCE
------------- -------------- --------------
<C> <C> <C>
51,022,950.80 283,262,687.82 233,844,892.25
23,788,921.91 233,844,892.25 211,381,091.40
30,441,934.37 211,381,091.40 182,136,983.21
33,760,494.89 182,136,983.21 149,408,597.89
89,487,072.56 149,408,597.89 60,768,174.05
31,067,122.39 60,768,174.05 30,045,404.65
5,702,197.39 30,045,404.65 24,513,464.55
12,188,675.76 24,513,464.55 12,463,698.42
2,043,639.74 12,463,698.42 10,490,686.30
3,377,296.83 10,490,686.30 7,172,836.69
7,213,482.76 7,172,836.69 0
</TABLE>
The information contained herein is privileged, confidential and intended for
use only by the addressee and shall not be republished without the express
approval of PaineWebber. The prices indicated reflect a bid side estimated
valuation unless otherwise indicated. No assurance can be given as to the
accuracy, appropriateness or the completeness of this information and the prices
indicated may differ from values provided by PaineWebber in other contexts.
Market indications in the subject securities may vary greatly among dealers.
Unless otherwise indicated, PaineWebber utilized its own methods for the
valuation which may not comport with your own designated models, criteria,
assumptions or regulatory requirements. The material is provided for information
purposes only and is not intended as an offer or solicitation to purchase or
sell the securities specified.
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-MO 6-MO 1-YR 2-YR 5-YR 10-YR 30-YR
------------------------------------------------------
4.61% 4.79% 4.83% 5.26% 5.48% 5.603% 5.89%
------------------------------------------------------
4.61% 4.79% 4.83% 5.26% 5.48% 5.603% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: B DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/18/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/21/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $61.11mm Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 8.56 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.015 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): Yes Default: 12:0%;3%,12m,40%
Premiums: Yes Extend: NA
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond B Rating: Aa2/AA
PRICE VALUE PREPAYMENTS (9 BY 5) Factor: 100% Coupon: 6.94% Position: $35,238,000 Accrued: $40,759 (6 DAYS) Bench: c
by 0:08 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
100.13 1/2 -352,380 6.942% 6.942% 6.942% 6.942% 6.942%
100.21 1/2 -264,285 6.907% 6.906% 6.906% 6.906% 6.906%
100.29 1/2 -176,190 6.871% 6.871% 6.871% 6.871% 6.870%
101.05 1/2 -88,095 6.836% 6.836% 6.835% 6.835% 6.835%
101.13 1/2 $35,739,040 6.800% 6.800% 6.800% 6.800% 6.799%
101.21 1/2 +88,095 6.765% 6.765% 6.765% 6.765% 6.764%
101.29 1/2 +176,190 6.730% 6.730% 6.730% 6.730% 6.729%
102.05 1/2 +264,285 6.695% 6.695% 6.695% 6.695% 6.694%
102.13 1/2 +352,380 6.661% 6.660% 6.660% 6.660% 6.659%
SPREAD 120.0b 120.0b 120.0b 120.0b 120.0b
RETURN 6.768% 6.767% 6.767% 6.767% 6.766%
LIFE 9.915 9.908 9.899 9.888 9.856
DURATION 6.995 6.991 6.987 6.981 6.965
CONVEXITY 0.629 0.629 0.628 0.627 0.623
WINDOW Apr 09, May 09 Apr 09, May 09 Apr 09, May 09 Apr 09, May 09 Apr 09, Apr 09
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
<TABLE>
------------------------------------------------------
PRICE YIELD TREASURY
CONQUEST. Ahead of the curve ------------------------------------------------------
617 227 0933 3-MO 6-MO 1-YR 2-YR 5-YR 10-YR 30-YR
------------------------------------------------------
4.61% 4.79% 4.83% 5.26% 5.48% 5.603% 5.89%
------------------------------------------------------
4.61% 4.79% 4.83% 5.26% 5.48% 5.603% 5.89%
------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PMAC 1999-C1 (RED) Bond: A-2 DELINQUENCIES POOL PROJECTIONS TOTAL RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Today: 5/18/1999 Cutoff: $704.76mm Factor: 100% Mo Adv: 0 Prem: $0 Horizon: 5/21/2000
Settle: 6/7/1999 Past Loss: 0% WAML: 119 1 Mo: 0% Loss: $61.11mm Reinv Mode: rate
Cutoff: 6/1/1999 Special: 0% WAMYM: 123 2-3 Mo: 0% Price: 100 Reinv Rate: 0%
Tape: 6/15/1999 WACg: 7.4023% WAMP: 124 4-6 Mo: 0% Life: 8.56 Spread Move: 0b
Record: 6/30/1999 WACn: 7.2955% WAMM: 127 >6 Mo: 0% MDur: 6.015 Portfolio: NA
Next: 7/15/1999 PRELIMINARY:
- ------------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------
SETTINGS MAIN (100% OF TOTAL)
- ----------------------------------------------------------
Mode: Static Refi: Spread:0b;Excess:0%
Rates: Shift:0b;Steep:0b Growth: 0%
Lock: YM:lock;FP:NA Prepay: table
Cleanup(1%): Yes Default: 12:0%;3%,12m,40%
Premiums: Yes Extend: NA
- ----------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PRICE YIELD Deal PMAC 1999-C1 Bond A-2 Rating: AAA/AAA
PRICE VALUE PREPAYMENTS (9 BY 5) Factor: 100% Coupon: 6.8% Position: $357,327,000 Accrued: $404,971 (6 DAYS) Bench: c
by 0:08 & Change -----------------------------------------------------------------------------------------------------------
0% 25% 50% 75% 100%
YIELD YIELD YIELD YIELD YIELD
- ------------------------------------------------------------------------------------------------------------------------------------
100:14 -3,573,270 6.791% 6.791% 6.790% 6.790% 6.789%
100:22 -2,679,953 6.753% 6.753% 6.753% 6.752% 6.751%
100:30 -1,786,635 6.715% 6.715% 6.715% 6.715% 6.713%
101:06 -893,318 6.678% 6.678% 6.677% 6.677% 6.675%
101:14 $362,463,576 6.640% 6.640% 6.640% 6.639% 6.637%
101:22 +893,318 6.603% 6.603% 6.602% 6.602% 6.599%
101:30 +1,786,635 6.566% 6.566% 6.565% 6.565% 6.561%
102:06 +2,679,953 6.529% 6.529% 6.528% 6.527% 6.524%
102:14 +3,573,270 6.492% 6.492% 6.491% 6.490% 6.486%
SPREAD 106.0b 106.1b 106.1b 106.1b 106.1b
RETURN 6.605% 6.605% 6.604% 6.603% 6.599%
LIFE 9.067 9.047 9.025 8.999 8.876
DURATION 6.598 6.587 6.576 6.562 6.496
CONVEXITY 0.554 0.552 0.550 0.548 0.536
WINDOW May 06, Apr 09 May 06, Apr 09 May 06, Apr 09 May 06, Apr 09 Apr 06, Apr 09
LOSS 0.000% 0.000% 0.000% 0.000% 0.000%
- ------------------------------------------------------------------------------------------------------------------------------------
Other Assumptions: (c) Copyright 1996-1999 Charter Research Corp. ALL RIGHTS RESERVED.
none
The information contained herein is privileged, confidential and intended for use only by the addressee and shall not be republished
without the express approval of PaineWebber. The prices indicated reflect a bid side estimated valuation unless otherwise indicated.
No assurance can be given as to the accuracy, appropriateness or the completeness of this information and the prices indicated may
differ from values provided by PaineWebber in other contexts. Market indications in the subject securities may vary greatly among
dealers. Unless otherwise indicated, PaineWebber utilized its own methods for the valuation which may not comport with your own
designated models, criteria, assumptions or regulatory requirements. The material is provided for information purposes only and is
not intended as an offer or solicitation to purchase or sell the securities specified.
</TABLE>
<PAGE>
PMAC 1999-C1
CLASS X - PRICING SCENARIO
10 ANALYSIS - TABLE OF CONTENTS
1 "A" SCENARIO - BASE TREASURIES
0 CPR during LO & YM then at indicated CPR
speeds: 0, 25, 50, 75, 100
2 "AFTER LO" SCENARIO - BASE TREASURIES
0 CPR during LO then at indicated CPR
speeds: 0, 25, 50, 75, 100
3 "AFTER LO" SCENARIO - BASE TREASURIES + 200 BP
0 CPR during LO then at indicated CPR
speeds: 0, 25, 50, 75, 100
4 "C" SCENARIO - BASE TREASURIES
0 CPR during LO, 5% CPR during YM then at indicated CPR
speeds: 0, 25, 50, 75, 100
5 "C" SCENARIO - BASE TREASURIES + 200 BP
0 CPR during LO, 5% CPR during YM then at indicated CPR
speeds: 0, 25, 50, 75, 100
Note:
- -----
LO = Lockout
YM = Yield Maintenance
THESE COMPUTATIONAL MATERIALS HAVE BEEN BASED UPON THE ASSUMPTIONS DESCRIBED
ABOVE. THESE ASSUMPTIONS WILL MOST LIKELY NOT REPRESENT THE ACTUAL EXPERIENCE OF
THE LOANS IN THE FUTURE. THE COMPUTATIONAL MATERIALS ARE INTENDED TO ILLUSTRATE
VARIATIONS IN YIELD ON THE OFFERED CERTIFICATES (REFERRED TO IN THE MEMORANDUM)
UNDER SUCH ASSUMPTIONS. NO REPRESENTATION IS MADE HEREIN AS TO THE ACTUAL RATE
OR TIMING OF PRINCIPAL PAYMENTS OR PREPAYMENTS ON ANY OF THE UNDERLYING LOANS IN
THE POOL OR THE ACTUAL PERFORMANCE CHARACTERISTICS OF THE OFFERED CERTIFICATES.
<PAGE>
May 17 21:16 1999 Page 1
Deal Name: pmac0517c
1 "A" Scenario - base treasuries
PMAC 1999-C1
CLASS X - PRICING SCENARIO
MERRILL LYNCH & CO
CLASS I0 - PRICE = 4-10
MORTGAGE BALANCE..............: $704,764,604
CLASS NOT. BALANCE..............: $704,764,604
PROCEEDS..............: $30,465,360
CREDIT SUPPORT(%)..............: 0.0%
CREDIT SUPPORT($)..............: $0
MONTH DEFAULTS BEGIN..............: 13
MONTH DEFAULTS END..............: 360
MONTHS TO RECOVERY..............: 0
SERVICER ADVANCES..............: P & I
LOSS MODE..............: P only
SETTLEMENT DATE..............: 06/07/1999
<TABLE>
<CAPTION>
------------------------------------------------------ PREPAYMENTS --------------------------------------------------------
0 CPR (Base) 25 CPR 50 CPR 75 CPR 100 CPR
------- 0%/LOANS ------ ------- 0%/LOANS ------- ------- 0%/LOANS ------- ------ 0%/LOANS ------- ------ 0%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 CDR 0 0.00 9.37 9.207 379 0.00 9.36 9.153 378 0.00 9.34 9.115 376 0.00 9.31 9.083 373 0.00 9.10 8.975 352
25 0.00 9.37 9.207 379 0.00 9.36 9.153 378 0.00 9.34 9.115 376 0.00 9.31 9.083 373 0.00 9.10 8.975 352
50 0.00 9.37 9.207 379 0.00 9.36 9.153 378 0.00 9.34 9.115 376 0.00 9.31 9.083 373 0.00 9.10 8.975 352
------- 8%/LOANS ------ ------- 8%/LOANS ------- ------- 8%/LOANS ------- ------ 8%/LOANS ------- ------ 8%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
1 CDR 0 0.00 8.41 8.836 283 0.00 8.40 8.784 282 0.00 8.38 8.748 281 0.00 8.35 8.718 278 0.00 8.16 8.617 259
25 1.97 8.18 8.836 260 1.96 8.l7 8.784 259 1.95 8.15 8.748 258 1.94 8.12 8.718 255 1.92 7.92 8.617 235
50 3.94 7.91 8.836 233 3.92 7.90 8.784 232 3.90 7.88 8.748 230 3.88 7.85 8.718 228 3.83 7.65 8.617 208
------ 15%/LOANS ------ ------ 15%/LOANS ------- ------ 15%/LOANS ------- ----- 15%/LOANS ------- ----- 15%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
2 CDR 0 0.00 7.48 8.486 191 0.00 7.47 8.436 190 0.00 7.45 8.402 189 0.00 7.42 8.374 186 0.00 7.22 8.280 166
25 3.78 6.97 8.486 140 3.76 6.97 8.436 140 3.74 6.95 8.402 138 3.73 6.92 8.374 136 3.68 6.73 8.280 117
50 7.56 6.21 8.486 65 7.51 6.21 8.436 65 7.48 6.20 8.402 63 7.45 6.17 8.374 61 7.36 5.98 8.280 42
------ 22%/LOANS ------ ------ 22%/LOANS ------- ------ 22%/LOANS ------- ----- 21%/LOANS ------- ----- 21%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
3 CDR 0 0.00 6.59 8.158 102 0.00 6.58 8.110 102 0.00 6.57 8.078 101 0.00 6.54 8.052 98 0.00 6.34 7.965 78
25 5.45 5.75 8.158 19 5.41 5.75 8.110 19 5.39 5.74 8.078 18 5.37 5.71 8.052 15 5.30 5.53 7.965 (2)
50 10.89 3.97 8.158 (158) 10.82 3.99 8.110 (156) 10.77 3.99 8.078 (156) 10.73 3.97 8.052 (158) 10.60 3.78 7.965 (176)
</TABLE>
Treasury Curve
<TABLE>
<CAPTION>
3mo 6mo lyr 2yr 3yr 4yr 5yr 7yr 10yr 30yr
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Price: 4-157 4-177 4-192 99-165 -1-00 -1-00 98-312 -1-00 93-255 91-016
Yield: 4.6100 4.7300 4.8300 5.2600 5.3333 5.4067 5.4800 5.5280 5.6000 5.8900
</TABLE>
THESE COMPUTATIONAL MATERIALS HAVE BEEN BASED UPON THE ASSUMPTIONS DESCRIBED
ABOVE. THESE ASSUMPTIONS WILL MOST LIKELY NOT REPRESENT THE ACTUAL EXPERIENCE OF
THE LOANS IN THE FUTURE. THE COMPUTATIONAL MATERIALS ARE INTENDED TO ILLUSTRATE
VARIATIONS IN YIELD ON THE OFFERED CERTIFICATES (REFERRED TO IN THE MEMORANDUM)
UNDER SUCH ASSUMPTIONS. NO REPRESENTATION IS MADE HEREIN AS TO THE ACTUAL RATE
OR TIMING OF PRINCIPAL PAYMENTS OR PREPAYMENTS ON ANY OF THE UNDERLYING LOANS IN
THE POOL OR THE ACTUAL PERFORMANCE CHARACTERISTICS OF THE OFFERED CERTIFICATES.
"A" SCENARIO - BASE TREASURIES
0 CPR DURING LO & YM THEN AT INDICATED CPR
1
<PAGE>
May 17 21:17 1999 Page 1
Deal Name: pmac0517c
2 "After LO" Scenario - base treasuries
PMAC 1999-C1
CLASS X - PRICING SCENARIO
MERRILL LYNCH & CO
CLASS I0 - PRICE = 4-10
MORTGAGE BALANCE..............: $704,764,604
CLASS NOT. BALANCE..............: $704,764,604
PROCEEDS..............: $30,465,360
CREDIT SUPPORT(%)..............: 0.0%
CREDIT SUPPORT($)..............: $0
MONTH DEFAULTS BEGIN..............: 13
MONTH DEFAULTS END..............: 360
MONTHS TO RECOVERY..............: 0
SERVICER ADVANCES..............: P & I
LOSS MODE..............: P only
SETTLEMENT DATE..............: 06/07/1999
<TABLE>
<CAPTION>
------------------------------------------------------ PREPAYMENTS ---------------------------------------------------------
0 CPR (Base) 25 CPR 50 CPR 75 CPR 100 CPR
------- 0%/LOANS ------ ------- 0%/LOANS ------- ------- 0%/LOANS ------- ------ 0%/LOANS ------- ------ 0%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 CDR 0 0.00 9.37 9.207 379 0.00 9.46 8.995 388 0.00 9.50 8.882 392 0.00 9.50 8.813 392 0.00 9.35 8.672 377
25 0.00 9.37 9.207 379 0.00 9.46 8.995 388 0.00 9.50 8.882 392 0.00 9.50 8.813 392 0.00 9.35 8.672 377
50 0.00 9.37 9.207 379 0.00 9.46 8.995 388 0.00 9.50 8.882 392 0.00 9.50 8.813 392 0.00 9.35 8.672 377
------- 8%/LOANS ------ ------- 8%/LOANS ------- ------- 8%/LOANS ------- ------ 8%/LOANS ------- ------ 7%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
1 CDR 0 0.00 8.41 8.836 283 0.00 8.53 8.634 296 0.00 8.58 8.527 301 0.00 8.59 8.461 303 0.00 8.45 8.329 288
25 1.97 8.18 8.836 260 1.92 8.30 8.634 273 1.89 8.35 8.527 278 1.88 8.36 8.461 279 1.85 8.21 8.329 264
50 3.94 7.91 8.836 233 3.84 8.02 8.634 245 3.79 8.07 8.527 250 3.75 8.08 8.461 251 3.69 7.93 8.329 237
------ 15%/LOANS ------ ------ 15%/LOANS ------- ------ 15%/LOANS ------- ----- 14%/LOANS ------- ----- 14%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
2 CDR 0 0.00 7.48 8.486 191 0.00 7.62 8.294 205 0.00 7.68 8.192 212 0.00 7.71 8.128 215 0.00 7.58 8.004 202
25 3.78 6.97 8.486 140 3.69 7.11 8.294 155 3.64 7.18 8.192 162 3.60 7.20 8.128 164 3.54 7.07 8.004 151
50 7.56 6.21 8.486 65 7.37 6.37 8.294 81 7.27 6.44 8.192 88 7.21 6.46 8.128 90 7.09 6.32 8.004 77
------ 22%/LOANS ------ ------ 21%/LOANS ------- ------ 21%/LOANS ------- ----- 21%/LOANS ------- ----- 20%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
3 CDR 0 0.00 6.59 8.158 102 0.00 6.73 7.976 117 0.00 6.80 7.879 125 0.00 6.83 7.818 128 0.00 6.75 7.701 120
25 5.45 5.75 8.158 19 5.31 5.91 7.976 36 5.24 5.99 7.879 44 5.19 6.03 7.818 48 5.11 5.93 7.701 38
50 10.89 3.97 8.158 (158) 10.62 4.22 7.976 (132) 10.47 4.34 7.879 (120) 10.38 4.39 7.818 (115) 10.21 4.28 7.701(126)
</TABLE>
Treasury Curve
<TABLE>
<CAPTION>
3mo 6mo lyr 2yr 3yr 4yr 5yr 7yr 10yr 30yr
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Price: 4-157 4-177 4-192 99-165 -1-00 -1-00 98-312 -1-00 93-255 91-016
Yield: 4.6100 4.7300 4.8300 5.2600 5.3333 5.4067 5.4800 5.5280 5.6000 5.8900
</TABLE>
THESE COMPUTATIONAL MATERIALS HAVE BEEN BASED UPON THE ASSUMPTIONS DESCRIBED
ABOVE. THESE ASSUMPTIONS WILL MOST LIKELY NOT REPRESENT THE ACTUAL EXPERIENCE OF
THE LOANS IN THE FUTURE. THE COMPUTATIONAL MATERIALS ARE INTENDED TO ILLUSTRATE
VARIATIONS IN YIELD ON THE OFFERED CERTIFICATES (REFERRED TO IN THE MEMORANDUM)
UNDER SUCH ASSUMPTIONS. NO REPRESENTATION IS MADE HEREIN AS TO THE ACTUAL RATE
OR TIMING OF PRINCIPAL PAYMENTS OR PREPAYMENTS ON ANY OF THE UNDERLYING LOANS IN
THE POOL OR THE ACTUAL PERFORMANCE CHARACTERISTICS OF THE OFFERED CERTIFICATES.
"AFTER LO" SCENARIO - BASE TREASURIES
0 CPR DURING THEN AT INDICATED CPR
2
<PAGE>
May 17 21:17 1999 Page 1
Deal Name: pmac0517c
3 "After LO" Scenario - base treasuries + 200 bp
PMAC 1999-C1
CLASS X - PRICING SCENARIO
MERRILL LYNCH & CO
CLASS I0 - PRICE = 4-10
MORTGAGE BALANCE..............: $704,764,604
CLASS NOT. BALANCE..............: $704,764,604
PROCEEDS..............: $30,465,360
CREDIT SUPPORT(%)..............: 0.0%
CREDIT SUPPORT($)..............: $0
MONTH DEFAULTS BEGIN..............: 13
MONTH DEFAULTS END..............: 360
MONTHS TO RECOVERY..............: 0
SERVICER ADVANCES..............: P & I
LOSS MODE..............: P only
SETTLEMENT DATE..............: 06/07/1999
<TABLE>
<CAPTION>
------------------------------------------------------ PREPAYMENTS ---------------------------------------------------------
0 CPR (Base) 25 CPR 50 CPR 75 CPR 100 CPR
------- 0%/LOANS ------ ------- 0%/LOANS ------- ------- 0%/LOANS ------- ------ 0%/LOANS ------- ------ 0%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 CDR 0 0.00 9.37 9.207 179 0.00 9.13 8.995 155 0.00 8.98 8.882 140 0.00 8.86 8.813 128 0.00 8.55 8.672 98
25 0.00 9.37 9.207 179 0.00 9.13 8.995 155 0.00 8.98 8.882 140 0.00 8.86 8.813 128 0.00 8.55 8.672 98
50 0.00 9.37 9.207 179 0.00 9.13 8.995 155 0.00 8.98 8.882 140 0.00 8.86 8.813 128 0.00 8.55 8.672 98
------- 8%/LOANS ------ ------- 8%/LOANS ------- ------- 8%/LOANS ------- ------ 8%/LOANS ------- ------ 7%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
1 CDR 0 0.00 8.41 8.836 83 0.00 8.21 8.634 64 0.00 8.07 8.527 50 0.00 7.95 8.461 38 0.00 7.65 8.329 8
25 1.97 8.18 8.836 60 1.92 7.97 8.634 40 1.89 7.83 8.527 26 1.88 7.71 8.461 14 1.85 7.41 8.329 (15)
50 3.94 7.91 8.836 33 3.84 7.69 8.634 12 3.79 7.54 8.527 (2) 3.75 7.42 8.461 (14) 3.69 7.12 8.329 (43)
------ 15%/LOANS ------ ------ 15%/LOANS ------- ------ 15%/LOANS ------- ----- 14%/LOANS ------- ----- 14%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
2 CDR 0 0.00 7.48 8.486 (8) 0.00 7.32 8.294 (24) 0.00 7.19 8.192 (36) 0.00 7.09 8.128 (46) 0.00 6.78 8.004 (76)
25 3.78 6.97 8.486 (59) 3.69 6.79 8.294 (76) 3.64 6.66 8.192 (89) 3.60 6.55 8.128 (100) 3.54 6.25 8.004 (129)
50 7.56 6.21 8.486 (134) 7.37 6.03 8.294 (152) 7.27 5.90 8.192 (165) 7.21 5.78 8.128 (177) 7.09 5.49 8.004 (206)
------ 22%/LOANS ------ ------ 21%/LOANS ------- ------ 21%/LOANS ------- ----- 21%/LOANS ------- ----- 20%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
3 CDR 0 0.00 6.59 8.158 (97) 0.00 6.45 7.976 (109) 0.00 6.35 7.879 (119) 0.00 6.25 7.818 (129) 0.00 5.96 7.701 (158)
25 5.45 5.75 8.158 (180) 5.31 5.61 7.976 (194) 5.24 5.50 7.879 (205) 5.19 5.40 7.818 (214) 5.11 5.11 7.701 (243)
50 10.89 3.97 8.158 (358) 10.62 3.86 7.976 (369) 10.47 3.76 7.879 (379) 10.38 3.66 7.818 (388) 10.21 3.38 7.701 (416)
</TABLE>
Treasury Curve
<TABLE>
<CAPTION>
3mo 6mo 1yr 2yr 3yr 4yr 5yr 7yr 10yr 30yr
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Price: 6-132 6-13+ 6-133 95-295 -1-00 -1-00 90-255 -1-00 80-30+ 69-277
Yield: 6.6100 6.7300 6.8300 7.2600 7.3333 7.4067 7.4800 7.5280 7.6000 7.8900
</TABLE>
THESE COMPUTATIONAL MATERIALS HAVE BEEN BASED UPON THE ASSUMPTIONS DESCRIBED
ABOVE. THESE ASSUMPTIONS WILL MOST LIKELY NOT REPRESENT THE ACTUAL EXPERIENCE OF
THE LOANS IN THE FUTURE. THE COMPUTATIONAL MATERIALS ARE INTENDED TO ILLUSTRATE
VARIATIONS IN YIELD ON THE OFFERED CERTIFICATES (REFERRED TO IN THE MEMORANDUM)
UNDER SUCH ASSUMPTIONS. NO REPRESENTATION IS MADE HEREIN AS TO THE ACTUAL RATE
OR TIMING OF PRINCIPAL PAYMENTS OR PREPAYMENTS ON ANY OF THE UNDERLYING LOANS IN
THE POOL OR THE ACTUAL PERFORMANCE CHARACTERISTICS OF THE OFFERED CERTIFICATES.
"AFTER LO" SCENARIO - BASE TREASURIES + 200 bp
0 CPR DURING LO THEN AT INDICATED CPR
3
<PAGE>
May 17 21:17 1999 Page 1
Deal Name: pmac0517c
4 "C" Scenario - base treasuries
PMAC 1999-C1
CLASS X - PRICING SCENARIO
MERRILL LYNCH & CO
CLASS I0 - PRICE = 4-10
MORTGAGE BALANCE..............: $704,764,604
CLASS NOT. BALANCE..............: $704,764,604
PROCEEDS..............: $30,465,360
CREDIT SUPPORT(%)..............: 0.0%
CREDIT SUPPORT($)..............: $0
MONTH DEFAULTS BEGIN..............: 13
MONTH DEFAULTS END..............: 360
MONTHS TO RECOVERY..............: 0
SERVICER ADVANCES..............: P & I
LOSS MODE..............: P only
SETTLEMENT DATE..............: 06/07/1999
<TABLE>
<CAPTION>
------------------------------------------------------ PREPAYMENTS ---------------------------------------------------------
0 CPR (Base) 25 CPR 50 CPR 75 CPR 100 CPR
------- 0%/LOANS ------ ------- 0%/LOANS ------- ------- 0%/LOANS ------- ------ 0%/LOANS ------- ------ 0%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 CDR 0 0.00 9.37 9.207 379 0.00 9.39 9.111 380 0.00 9.37 9.073 378 0.00 9.34 9.042 375 0.00 9.13 8.935 355
25 0.00 9.37 9.207 379 0.00 9.39 9.111 380 0.00 9.37 9.073 378 0.00 9.34 9.042 375 0.00 9.13 8.935 355
50 0.00 9.37 9.207 379 0.00 9.39 9.111 380 0.00 9.37 9.073 378 0.00 9.34 9.042 375 0.00 9.13 8.935 355
------- 8%/LOANS ------ ------- 8%/LOANS ------- ------- 8%/LOANS ------- ------ 8%/LOANS ------- ------ 8%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
1 CDR 0 0.00 8.41 8.836 283 0.00 8.43 8.744 286 0.00 8.42 8.709 284 0.00 8.39 8.679 282 0.00 8.19 8.580 262
25 1.97 8.18 8.836 260 1.95 8.20 8.744 263 1.94 8.19 8.709 261 1.93 8.16 8.679 258 1.91 7.96 8.580 239
50 3.94 7.91 8.836 233 3.90 7.93 8.744 235 3.88 7.91 8.709 234 3.86 7.88 8.679 231 3.81 7.69 8.580 212
------ 15%/LOANS ------ ------ 15%/LOANS ------- ------ 15%/LOANS ------- ----- 15%/LOANS ------- ----- 15%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
2 CDR 0 0.00 7.48 8.486 191 0.00 7.51 8.398 194 0.00 7.49 8.364 193 0.00 7.46 8.336 190 0.00 7.26 8.244 170
25 3.78 6.97 8.486 140 3.74 7.00 8.398 144 3.72 6.99 8.364 142 3.71 6.96 8.336 140 3.66 6.77 8.244 121
50 7.56 6.21 8.486 65 7.48 6.25 8.398 69 7.44 6.24 8.364 68 7.41 6.22 8.336 65 7.32 6.03 8.244 47
------ 22%/LOANS ------ ------ 22%/LOANS ------- ------ 21%/LOANS ------- ----- 21%/LOANS ------- ----- 21%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
3 CDR 0 0.00 6.59 8.158 102 0.00 6.62 8.075 106 0.00 6.60 8.043 105 0.00 6.57 8.016 102 0.00 6.38 7.931 82
25 5.45 5.75 8.158 19 5.38 5.79 8.075 23 5.36 5.78 8.043 22 5.34 5.75 8.016 20 5.28 5.57 7.931 1
50 10.89 3.97 8.158 (158) 10.77 4.05 8.075 (150) 10.72 4.05 8.043 (150) 10.68 4.03 8.016 (152) 10.55 3.85 7.931 (170)
</TABLE>
Treasury Curve
<TABLE>
<CAPTION>
3mo 6mo 1yr 2yr 3yr 4yr 5yr 7yr 10yr 30yr
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Price: 4-157 4-177 4-192 99-165 -1-00 -1-00 98-312 -1-00 93-255 91-016
Yield: 4.6100 4.7300 4.8300 5.2600 5.3333 5.4067 5.4800 5.5280 5.6000 5.8900
</TABLE>
THESE COMPUTATIONAL MATERIALS HAVE BEEN BASED UPON THE ASSUMPTIONS DESCRIBED
ABOVE. THESE ASSUMPTIONS WILL MOST LIKELY NOT REPRESENT THE ACTUAL EXPERIENCE OF
THE LOANS IN THE FUTURE. THE COMPUTATIONAL MATERIALS ARE INTENDED TO ILLUSTRATE
VARIATIONS IN YIELD ON THE OFFERED CERTIFICATES (REFERRED TO IN THE MEMORANDUM)
UNDER SUCH ASSUMPTIONS. NO REPRESENTATION IS MADE HEREIN AS TO THE ACTUAL RATE
OR TIMING OF PRINCIPAL PAYMENTS OR PREPAYMENTS ON ANY OF THE UNDERLYING LOANS IN
THE POOL OR THE ACTUAL PERFORMANCE CHARACTERISTICS OF THE OFFERED CERTIFICATES.
"C" SCENARIO - BASE TREASURIES
0 CPR DURING LO, 5% CPR DURING YM THEN AT INDICATED CPR
4
<PAGE>
May 17 21:17 1999 Page 1
Deal Name: pmac0517c
5 "C" Scenario - base treasuries + 200 bp
PMAC 1999-C1
CLASS X - PRICING SCENARIO
MERRILL LYNCH & CO
CLASS I0 - PRICE = 4-10
MORTGAGE BALANCE..............: $704,764,604
CLASS NOT. BALANCE..............: $704,764,604
PROCEEDS..............: $30,465,360
CREDIT SUPPORT(%)..............: 0.0%
CREDIT SUPPORT($)..............: $0
MONTH DEFAULTS BEGIN..............: 13
MONTH DEFAULTS END..............: 360
MONTHS TO RECOVERY..............: 0
SERVICER ADVANCES..............: P & I
LOSS MODE..............: P only
SETTLEMENT DATE..............: 06/07/1999
<TABLE>
<CAPTION>
------------------------------------------------------ PREPAYMENTS ---------------------------------------------------------
0 CPR (Base) 25 CPR 50 CPR 75 CPR 100 CPR
------- 0%/LOANS ------ ------- 0%/LOANS ------- ------- 0%/LOANS ------- ------ 0%/LOANS ------- ------ 0%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 CDR 0 0.00 9.37 9.207 179 0.00 9.30 9.111 172 0.00 9.29 9.073 170 0.00 9.25 9.042 167 0.00 9.05 8.935 147
25 0.00 9.37 9.207 179 0.00 9.30 9.111 172 0.00 9.29 9.073 170 0.00 9.25 9.042 167 0.00 9.05 8.935 147
50 0.00 9.37 9.207 179 0.00 9.30 9.111 172 0.00 9.29 9.073 170 0.00 9.25 9.042 167 0.00 9.05 8.935 147
------- 8%/LOANS ------ ------- 8%/LOANS ------- ------- 8%/LOANS ------- ------ 8%/LOANS ------- ------ 8%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
1 CDR 0 0.00 8.41 8.836 83 0.00 8.35 8.744 78 0.00 8.34 8.709 76 0.00 8.31 8.679 74 0.00 8.11 8.580 54
25 1.97 8.18 8.836 60 1.95 8.12 8.744 55 1.94 8.10 8.709 53 1.93 8.08 8.679 50 1.91 7.88 8.580 31
50 3.94 7.91 8.836 33 3.90 7.84 8.744 27 3.88 7.83 8.709 25 3.86 7.80 8.679 22 3.81 7.60 8.580 3
------ 15%/LOANS ------ ------ 15%/LOANS ------- ------ 15%/LOANS ------- ----- 15%/LOANS ------- ----- 15%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
2 CDR 0 0.00 7.48 8.486 (8) 0.00 7.43 8.398 (12) 0.00 7.42 8.364 (14) 0.00 7.39 8.336 (17) 0.00 7.19 8.244 (37)
25 3.78 6.97 8.486 (59) 3.74 6.92 8.398 (63) 3.72 6.91 8.364 (65) 3.71 6.88 8.336 (67) 3.66 6.69 8.244 (86)
50 7.56 6.21 8.486 (134) 7.48 6.17 8.398 (139) 7.44 6.16 8.364 (140) 7.41 6.13 8.336 (142) 7.32 5.94 8.244 (161)
------ 22%/LOANS ------ ------ 22%/LOANS ------- ------ 22%/LOANS ------- ----- 22%/LOANS ------- ----- 22%/LOANS --------
LS C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD C.LOSS% YIELD WAL SPRD
- ------- ----------------------- ------------------------ ------------------------ ----------------------- ------------------------
3 CDR 0 0.00 6.59 8.158 (97) 0.00 6.55 8.075 (100) 0.00 6.54 8.043 (101) 0.00 6.51 8.016 (104) 0.00 6.31 7.931 (123)
25 5.45 5.75 8.158 (180) 5.38 5.72 8.075 (183) 5.36 5.70 8.043 (184) 5.34 5.68 8.016 (187) 5.28 5.49 7.931 (205)
50 10.89 3.97 8.158 (358) 10.77 3.96 8.075 (359) 10.72 3.96 8.043 (359) 10.68 3.94 8.016 (361) 10.55 3.75 7.931 (379)
</TABLE>
Treasury Curve
<TABLE>
<CAPTION>
3mo 6mo 1yr 2yr 3yr 4yr 5yr 7yr 10yr 30yr
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Price: 6-132 6-13+ 6-133 95-295 -1-00 -1-00 90-255 -1-00 80-30+ 69-277
Yield: 6.6100 6.7300 6.8300 7.2600 7.3333 7.4067 7.4800 7.5280 7.6000 7.8900
</TABLE>
THESE COMPUTATIONAL MATERIALS HAVE BEEN BASED UPON THE ASSUMPTIONS DESCRIBED
ABOVE. THESE ASSUMPTIONS WILL MOST LIKELY NOT REPRESENT THE ACTUAL EXPERIENCE OF
THE LOANS IN THE FUTURE. THE COMPUTATIONAL MATERIALS ARE INTENDED TO ILLUSTRATE
VARIATIONS IN YIELD ON THE OFFERED CERTIFICATES (REFERRED TO IN THE MEMORANDUM)
UNDER SUCH ASSUMPTIONS. NO REPRESENTATION IS MADE HEREIN AS TO THE ACTUAL RATE
OR TIMING OF PRINCIPAL PAYMENTS OR PREPAYMENTS ON ANY OF THE UNDERLYING LOANS IN
THE POOL OR THE ACTUAL PERFORMANCE CHARACTERISTICS OF THE OFFERED CERTIFICATES.
"C" SCENARIO - BASE TREASURIES + 200 bp
0 CPR DURING LO, 5% CPR DURING YM THEN AT INDICATED CPR
5
<PAGE>
PMAC 1999-C1
CLASS A1
May 18,1999
<TABLE>
<CAPTION>
SCENARIO YIELD CURVE PREPAY DEFAULT PRICE YIELD SPREAD WAL DURATION WINDOW
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1A Base 0 CPR 0 CDR 100-16 6.34 85 5.3 4.3 07/99 to 12/07
1B +200 0 CPR 0 CDR 92-12+ 8.34 85 5.3 4.1 07/99 to 12/07
1C -200 0 CPR 0 CDR 109-21 4.34 85 5.3 4.4 07/99 to 12/07
2A Base 100 CPR after LO 0 CDR 100-16 6.65 127 3.7 3.1 07/99 to 06/06
2B +200 100 CPR after LO 0 CDR 92-12+ 9.07 169 3.7 3.0 07/99 to 06/06
2C -200 100 CPR after LO 0 CDR 109-21 4.57 118 3.7 3.2 07/99 to 06/06
2D -200 100 CPR after LO 0 CDR 109-11+ 4.65 127 3.7 3.2 07/99 to 06/06
2E -200 100 CPR after LO 0 CDR 110-14+ 4.34 96 3.7 3.2 07/99 to 06/06
3 Base Extend 3 yrs at
balloon 0 CDR 100-16 6.36 85 6.0 4.7 07/99 to 05/09
4 Base Extend all remaining 25 CDR, 100-16 6.17 88 2.4 2.2 07/99 to 08/02
balloon loans by 3 24 mtr,
yrs at balloon date 35% loss,
P&I
advanced
5A +200 YM loans 10 CPR beg 0 CDR 92-12+ 8.39 90 5.2 4.0 07/99 to 06/07
Yr 5 Prepay Pens 10
CPR beg Yr 3
5B -200 YM loans 10 CPR beg 0 CDR 109-21 4.37 89 5.2 4.3 07/99 to 06/07
Yr 5 Prepay Pens 10
CPR beg Yr 3
5C Base YM loans 10 CPR beg 0 CDR 100-16 6.37 88 5.2 4.2 07/99 to 06/07
Yr 5 Prepay Pens 10
CPR beg Yr 3
6 Base YM loans 10 CPR beg 25 CDR, 100-16 6.17 88 2.4 2.2 07/99 to 08/02
Yr 5 Prepay Pens 10 24 mtr,
CPR beg Yr 3 35% loss,
P&I
advanced
7 Base 0 CPR Top 3 100-16 6.32 87 4.6 3.8 07/99 to 07/06
loans 100
MDR in
Period 36,
24 mtr,
35% loss,
P&I
advanced
</TABLE>
THESE COMPUTATIONAL MATERIALS HAVE BEEN BASED UPON THE ASSUMPTIONS DESCRIBED
ABOVE. THESE ASSUMPTIONS WILL MOST LIKELY NOT REPRESENT THE ACTUAL EXPERIENCE OF
THE LOANS IN THE FUTURE. THE COMPUTATIONAL MATERIALS ARE INTENDED TO ILLUSTRATE
VARIATIONS IN YIELD ON THE OFFERED CERTIFICATES (REFERRED TO IN THE MEMORANDUM)
UNDER SUCH ASSUMPTIONS. NO REPRESENTATION IS MADE HEREIN AS TO THE ACTUAL RATE
OR TIMING OF PRINCIPAL PAYMENTS OR PREPAYMENTS ON ANY OF THE UNDERLYING LOANS IN
THE POOL OR THE ACTUAL PERFORMANCE CHARACTERISTICS OF THE OFFERED CERTIFICATES.
6
<PAGE>
PMAC 1999-C1
CLASS A2
May 18,1999
<TABLE>
<CAPTION>
SCENARIO YIELD CURVE PREPAY DEFAULT PRICE YIELD SPREAD WAL DURATION WINDOW
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1A Base 0 CPR 0 CDR 101-16 6.64 106 9.3 6.7 12/07 to 04/09
1B +200 0 CPR 0 CDR 88-30+ 8.64 106 9.3 6.5 12/07 to 04/09
1C -200 0 CPR 0 CDR 116-12 4.64 106 9.3 6.9 12/07 to 04/09
2A Base 100 CPR after LO 0 CDR 101-16 6.63 106 9.0 6.6 06/06 to 01/09
2B +200 100 CPR after LO 0 CDR 88-30+ 8.68 110 9.0 6.3 06/06 to 01/09
2C -200 100 CPR after LO 0 CDR 116-12 4.58 101 9.0 6.8 06/06 to 01/09
2D -200 100 CPR after LO 0 CDR 115-31+ 4.63 106 9.0 6.8 06/06 to 01/09
2E -200 100 CPR after LO 0 CDR 115-30 4.64 107 9.0 6.8 06/06 to 01/09
3 Base Extend 3 yrs at balloon 0 CDR 101-16 6.68 105 11.9 8.0 05/09 to 03/12
4 Base Extend all remaining 25 CDR, 101-16 5.59 8 6.4 5.0 08/02 to 10/12
balloon loans by 24 mtr,
3 yrs at balloon date 35% loss,
P&I
advanced
5A +200 YM loans 10 CPR beg 0 CDR 88-30+ 8.64 106 9.2 6.5 06/07 to 04/09
Yr 5 Prepay Pens 10
CPR beg Yr 3
5B -200 YM loans 10 CPR beg 0 CDR 116-12 4.63 105 9.2 6.9 06/07 to 04/09
Yr 5 Prepay Pens 10
CPR beg Yr 3
5C Base YM loans 10 CPR beg 0 CDR 101-16 6.64 105 9.2 6.7 06/07 to 04/09
Yr 5 Prepay Pens 10
CPR beg Yr 3
6 Base YM loans 10 CPR beg 25 CDR, 101-16 5.77 27 6.1 4.8 08/02 to 10/10
Yr 5 Prepay Pens 10 24 mtr,
CPR beg Yr 3 35% loss,
P&I
advanced
7 Base 0 CPR Top 3 101-16 6.63 105 9.1 6.6 07/06 to 04/09
loans 100
MDR in
Period 36,
24 mtr,
35% loss,
P&I advanced
</TABLE>
THESE COMPUTATIONAL MATERIALS HAVE BEEN BASED UPON THE ASSUMPTIONS DESCRIBED
ABOVE. THESE ASSUMPTIONS WILL MOST LIKELY NOT REPRESENT THE ACTUAL EXPERIENCE OF
THE LOANS IN THE FUTURE. THE COMPUTATIONAL MATERIALS ARE INTENDED TO ILLUSTRATE
VARIATIONS IN YIELD ON THE OFFERED CERTIFICATES (REFERRED TO IN THE MEMORANDUM)
UNDER SUCH ASSUMPTIONS. NO REPRESENTATION IS MADE HEREIN AS TO THE ACTUAL RATE
OR TIMING OF PRINCIPAL PAYMENTS OR PREPAYMENTS ON ANY OF THE UNDERLYING LOANS IN
THE POOL OR THE ACTUAL PERFORMANCE CHARACTERISTICS OF THE OFFERED CERTIFICATES.
7
