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NEW SOUTH HOME EQUITY TRUST 1999-2
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PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
[GRAPHIC OMITTED]
NEW SOUTH HOME EQUITY TRUST 1999-2
DISCLAIMER
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The information included herein is produced and provided exclusively by
PaineWebber Incorporated ("PW") as underwriter for New South Home Equity Trust
1999-2, and not by or as agent for New South Federal Savings Bank or any of its
affiliates (collectively, the "Seller") or for PaineWebber Mortgage Acceptance
Corporation IV (the "Depositor"). Neither the Seller nor the Depositor has
prepared, reviewed or participated in the preparation hereof, nor are they
responsible for the accuracy hereof and they have not authorized the
dissemination hereof. The analysis in this report is accurate to the best of
PW's knowledge and is based on information provided by the Seller. PW makes no
representations as to the accuracy of such information provided by the Seller.
THE INFORMATION HEREIN IS PRELIMINARY, AND WILL BE SUPERSEDED IN ITS ENTIRETY BY
THE APPLICABLE PROSPECTUS SUPPLEMENT AND PROSPECTUS AND BY ANY OTHER INFORMATION
SUBSEQUENTLY FILED WITH THE SECURITIES AND EXCHANGE COMMISSION.
All opinions and conclusions in this report reflect PW's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PW does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in this analysis. The decision to adopt
any strategy remains your responsibility. PW (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to herein, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PW may make a market in the securities referred to
herein. Neither the information nor the opinions expressed shall be construed to
be, or constitute, an offer to sell or buy or a solicitation of an offer to sell
or buy any securities, commodities or derivative instruments mentioned herein.
Finally, PW has not addressed the legal, accounting and tax implications of the
analysis with respect to you and PW strongly urges you to seek advice from your
counsel, accountant and tax advisor.
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THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
CONTAINED IN THE PROSPECTUS SUPPLEMENT
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$225,000,000 (APPROXIMATE) OFFERING AMOUNT
MBIA BOND INSURED
BOND SUMMARY
--------------- ------------ ------------- -------- ------------ ------------- ------------ ------------------
FIRST LAST PRINCIPAL EXPECTED
APPROXIMATE WAL PRINCIPAL PRINCIPAL WINDOW RATINGS
CERTIFICATES SIZE COUPON (D) (YEARS) PAYMENT PAYMENT (YEARS) (XXXXX'X/S&P)
(A)
--------------- ------------ ------------- -------- ------------ ------------- ------------ ------------------
A-1 $88,390,000 Floating (b) 0.95 12/99 09/01 1.83 Aaa/AAA
A-2 $15,656,000 Fixed (c) 2.00 09/01 02/02 0.50 Aaa/AAA
A-3 $48,145,000 Fixed (c) 3.00 02/02 12/03 1.92 Aaa/AAA
A-4 $24,301,000 Fixed (c) 5.00 12/03 03/06 2.33 Aaa/AAA
A-5 $19,933,000 Fixed (c) 7.57 03/06 09/07 1.58 Aaa/AAA
A-6 $22,500,000 Fixed (c) 6.20 12/02 09/07 4.83 Aaa/AAA
B $6,075,000 Fixed (c) 2.32 04/01 11/02 1.67 NR/BBB-
--------------- ------------ ------------- -------- ------------ ------------- ------------ ------------------
NOTES:
(a) The certificates will be priced to the 10% Optional Termination.
(b) The Class A-1 Certificate will bear interest at a variable rate equal to
One-month LIBOR plus [_]%, or commencing on the first day of the accrual
period in which the optional termination date occurs, One-month LIBOR +
[_]% per annum subject to an available funds cap based on funds available
therefor from interest accrued and payable on the loans.
(c) The Class A-2, A-3, A-4, A-5, A-6 and Class B Certificates will bear
interest at a fixed rate equal to their respective Pass-Through Rates, in
each case, subject to an available funds cap based on funds available
therefor from interest accrued and payable on the loans.
(d) Commencing on the first day after the Optional Termination Date occurs,
the fixed interest rate on the Class A-2, Class A-3, Class A-4, Class A-5,
Class A-6 Class-B Certificates will increase by 0.50% per annum.
DESCRIPTION OF HOME EQUITY LOANS AS OF THE
CUT-OFF DATE (11/1/99)
(COMPLETE COLLATERAL TABLES ON PAGES 12-15)
--------------------------------------------------- ---------------------
--------------------------------------------------- ---------------------
Number of Loans: 2,791
Current Balance: $179,855,887
Average Balance: $64,441
Minimum Balance: $5,970
Maximum Balance: $498,507
Wtd. Average Coupon: 9.9133%
Wtd. Average Combined Loan-To-Value: 79.15%
Wtd. Average Original Term (months): 299
Wtd. Average Seasoning (months): 4
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THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
CONTAINED IN THE PROSPECTUS SUPPLEMENT
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PRICING INFORMATION
PRICING SPEED: 4% CPR, increasing to 25% CPR over 12 months.
DISTRIBUTION DATE: The 25th day of each month (or the next Business
Day thereafter) commencing in December of 1999.
SETTLEMENT (CLOSING) DATE: On or about December 2nd, 1999.
CUT-OFF DATE: November 1st, 1999.
PAYMENT DELAY: With the exception of the Class A-1 Certificates,
24 days. With respect to the Class A-1
Certificates, 0 days.
PAYMENT TERMS: Monthly.
INTEREST ACCRUAL PERIOD: With the exception of the Class A-1 Certificates,
interest will accrue on the Certificates at a fixed
rate during the month prior to the month of the
related Distribution Date based on a 30/360 basis,
except that for the first Distribution Date (in
December 1999) there will be no accrual period. As
a result, there will be no interest due and payable
on these Certificates on the Distribution Date in
December 1999. The first Distribution Date for
these Certificates will be in January 2000.
With respect to the Class A-1 Certificates,
interest will accrue from and including the
preceding Distribution Date (or from and including
the Closing Date in the case of the first
Distribution Date in December 1999) to and
including the day prior to the current Distribution
Date at the Class A-1 Certificate Interest Rate on
an Actual/360 day basis.
PREPAYMENT INTEREST
SHORTFALLS: Prepayment interest shortfalls not covered by the
servicing fee will be allocated pro rata among all
Classes of Certificates on the basis of their
respective interest entitlements.
SERVICING/OTHER FEES: The collateral is subject to certain fees,
including a Servicing Fee totaling 0.50% per annum
payable monthly, a monthly premium payable to the
Certificate Insurer and monthly Trustee fees.
ADVANCING: The Servicer is required to advance from its own
funds any delinquent payments of interest (not
principal) unless such interest is deemed to be
non-recoverable (the "Delinquency Advances").
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THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
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PRICING INFORMATION (CONTINUED)
AVAILABLE FUNDS
CAP RATE: If a class's uncapped pass-through rate would be
greater than the weighted average net loan rate,
the available funds capped rate will equal the rate
determined for each Class by taking:
(a) all interest that accrued on the loans at their
respective net loan rates (i.e. excluding the
servicing fee, the trustee fee and the
insurance premium fee) and was due in the
related Due Period; less
(b) all interest accrued on the Class A-1, Class
A-2, Class A-3, Class A-4, Class A-5, Class A-6
and Class B certificates, in each case only if
their respective uncapped pass-through rates
are less than or equal to the weighted average
net loan rate; divided by
(c) the sum of the certificate principal balance of
the class and the certificate principal balance
of each other class of Offered Certificates
whose accrued interest is not included in
clause (b) above,
(d) multiplied by twelve.
In the event that the capped rate determined as
described in the preceding sentence would be in
excess of the uncapped pass-through rate of the
class, then such capped rate will be recalculated
so that interest accrued on the class for the
related Distribution Date at its uncapped
pass-through rate will be included in clause (b)
above. This calculation will be repeated as
appropriate so that in no event will the capped
rate so calculated exceed the class's uncapped
pass-through rate.
OPTIONAL TERMINATION DATE: The Optional Termination Date is the first
Distribution Date on which the Pool Balance has
declined to less than 10% of the sum of (x) the
balance of the Initial Loans as of the Cut-Off Date
and (y) the amount on deposit in the Pre-funding
Account as of the Settlement Date.
OPTIONAL TERMINATION: The Servicer may at its option (and if such option
is not exercised by the Servicer, the Certificate
Insurer may, at its option) effect an early
termination of the Trust on any Distribution Date
on or after the Optional Termination Date by
purchasing all of the Home Equity Loans at a price
equal to or greater than the Termination Price.
TERMINATION PRICE: The Termination Price will generally be an amount
equal to the greater of (i) the par amount of all
the loans and (ii) the fair market value of the
loans, and certain other expenses.
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THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
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DESCRIPTION OF SECURITIES
TITLE OF SECURITIES: New South Home Equity Trust 1999-2
OFFERING AMOUNT: Approximately $225,000,000.
ASSETS OF THE TRUST: - First and Second lien, fixed rate mortgage loans.
- 1-4 Family residential properties, condominium
units, townhomes, and manufactured housing.
- The Loans will be secured by mortgages, deeds of
trust or other similar security instruments.
- The Loans have an aggregate principal balance of
approximately $179,855,887 as of the Cut-off Date
and the Pre-funded Amount Loans is expected to be
approximately $45,144,113.
- Approximately 38.74% (by Cut-off Date principal
balance) of the Home Equity Loans bear prepayment
premiums.
- Approximately 34.82% (by Cut-off Date principal
balance) of the Initial Loans were originated by
Avondale Xxxxxxx.xxx formerly known as Avondale
Funding Corporation ("Avondale"). Avondale, a
wholly owned subsidiary of New South (purchased by
New South in February 1999) is a residential
mortgage company that offers second mortgages,
non-conforming first mortgages, and alternative
lending products nationally through its
correspondent and mortgage broker network.
PRE-FUNDING ACCOUNT: It is anticipated that the total unpaid principal
balance of the collateral pool conveyed to the
Trust at closing will be approximately
$179,855,887.
On the Closing Date, approximately $45,144,113 will
be deposited in an account (the "Pre-Funding
Account") and will be used to acquire Subsequent
Loans. The "Pre-Funding Period" is the period
commencing on the Closing Date and ending generally
on the earlier to occur of (i) the date on which the
amount on deposit in the Pre-Funding Account with
respect to any pool of loans is less than $50,000
and (ii) March 2nd, 2000.
FINAL POOL BALANCE: The Final Pool Balance will equal the principal
balance of the Initial Loans as of the cut-off date
and the amounts on deposit in the Pre-Funding
Account as of the Cut-off Date.
INITIAL LOANS: Initial Loans means the loans conveyed to the trust
on the closing date.
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A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
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THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
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DESCRIPTION OF SECURITIES (CONTINUED)
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITER: First Union Securities, Inc.
First Union will underwrite the Class B
Certificates.
SELLER AND SERVICER: New South Federal Savings Bank
DEPOSITOR: PaineWebber Mortgage Acceptance Corporation IV
CERTIFICATE INSURER: MBIA Insurance Corporation
TRUSTEE: The Bank of New York
SENIOR CERTIFICATES: The Class A-1, A-2, A-3, A-4, A-5, and A-6
Certificates.
OFFERED CERTIFICATES: The Senior Certificates and the Class B
Certificates. The Class X and Class R Certificates
are not being offered publicly.
FEDERAL TAX ASPECTS: It is anticipated that the Offered Certificates
will be treated as REMIC regular interests for tax
purposes.
OFFERING: Public Shelf Offering - a prospectus and
prospectus supplement will be distributed after
pricing.
FORM OF OFFERING: Book-Entry form, same-day funds through DTC,
Euroclear, and CEDEL.
ERISA CONSIDERATIONS: The Senior Certificates are expected to be ERISA
eligible. The Subordinate Certificates will NOT be
ERISA eligible.
SMMEA ELIGIBILITY: The Certificates will NOT constitute
"mortgage-related securities" for purposes of
SMMEA.
DENOMINATIONS: Minimum denominations of $25,000 and multiples of
$1 thereafter.
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THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
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DESCRIPTION OF SECURITIES (CONTINUED)
CREDIT ENHANCEMENT: Credit enhancement for the Senior Certificates will
be provided by the following: (a) excess spread,
(b) overcollateralization/subordination, and (c)
the Financial Guaranty Insurance Policy.
EXCESS SPREAD: The interest on the loans is
generally expected to be higher than the sum of the
Servicing Fee, the Trustee Fee, the premium payable
to the Certificate Insurer, and the interest
distributable to the Senior Certificates and the
Class B Certificates, thus generating excess spread
which will be available as principal payments on
the related Senior Certificates on each
Distribution Date. Such amount can vary over time
based on the prepayment and default experience of
the Home Loans.
OVERCOLLATERALIZATION/SUBORDINATION: Excess spread
will be applied, to the extent available, to make
accelerated payments of principal to the
Certificates then entitled to receive payments of
principal; such application will cause the
principal balance of the Senior Certificates to
amortize more rapidly than the loans, resulting in
Overcollateralization. Overcollateralization will
be calculated as the Pool's current principal
balance plus any amounts in the Pre-Funding
Account, less the aggregate of the Senior
Certificates' current principal balances. The Class
B Certificates will be senior to the Class X and
Class R Certificates, but subordinate to the Senior
Certificates.
Prior to the Stepdown Date, the required
Overcollateralization target will equal the greater
of (a) [5.50%] of the Final Pool Balance and (b)
150% of the Delinquency Amount.
The Stepdown Date will be the later of (1) the
Distribution Date in [June 2002] and (2) the first
Distribution Date on which the
Overcollateralization amount equals 5.50% of the
Final Pool Balance.
The Delinquency Amount is equal to, for any
Distribution Date, the product of (a) the
Delinquency Percentage for that Distribution Date,
and (b) an amount equal to the sum of (i) the
principal balance of the loans as of the end of the
related Due Period and (ii) the amount on deposit
in the Pre-Funding Account, if any.
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DESCRIPTION OF SECURITIES (CONTINUED)
CREDIT ENHANCEMENT:
(CONTINUED) The Delinquency Percentage means for any
Distribution Date, the rolling three-month average
(i.e. the average for that Distribution Date and
the two immediately preceding Distribution Dates)
of the respective percentages, expressed as a
fraction: (a) the numerator of which is the sum of:
(1) the aggregate principal balance of all loans
which are 90 or more days delinquent as of the end
of each of the related Due Periods; (2) the
aggregate principal balance of all loans which are
in foreclosure as of the end of each of the related
Due Periods; and (3) the aggregate principal
balance of all loans which relate to REO Properties
as of the end of each of the related Due Periods;
and (b) the denominator of which is the principal
balance of the loans as of the end of the related
Due Period.
On or after the Stepdown Date, the required
Overcollateralization target will be equal to the
greatest of:
a) [11.00%] times the current aggregate Pool
Balance;
b) the sum of the three largest loans
remaining in the deal;
c) 150% of the Delinquency Amount; and
d) [0.75%] times the aggregate of the Final
Pool balance.
FINANCIAL GUARANTY INSURANCE POLICY: A financial
guaranty insurance policy issued by MBIA Insurance
Corporation ("the Certificate Insurer"). MBIA will
unconditionally and irrevocably guarantee the
timely payment of interest (subject to the
Available Funds Cap Rate) and ultimate payment of
principal on the Senior Certificates (i.e. after
any losses reduce the
Overcollateralization/Subordination to zero, MBIA
will cover the excess, if any, of the current
Senior Certificate Balance over the current
aggregate Pool Balance). The Insured Payments do
not cover Realized Losses except to the extent that
the aggregate principal balance of the current
Senior Certificates exceeds the current aggregate
Pool Balance. Insured Payments do not cover the
Servicer's failure to make Delinquency Advances
except to the extent that a shortfall of interest
due on the Senior Certificates would otherwise
result therefrom. The MBIA Insurance Policy is not
cancelable for any reason. THE MBIA INSURANCE
POLICY IS NOT COVERED BY THE PROPERTY/CASUALTY
INSURANCE SECURITY FUND SPECIFIED IN ARTICLE 76 OF
THE NEW YORK INSURANCE LAW.
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A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
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THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
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DESCRIPTION OF SECURITIES (CONTINUED)
CLASS A-6 LOCKOUT
DISTRIBUTION AMOUNT: For any Distribution Date, the product of (i) the
applicable Class A-6 Lockout Percentage and (ii)
the product of (a) the Class A-6 Principal Balance
divided by the aggregate Certificate Principal
Balance of the Senior Certificates immediately
prior to such Distribution Date, and (b) the
Principal Distribution Amount for the Senior
Certificates for such Distribution Date.
CLASS A-6 LOCKOUT
TURBO AMOUNT: For any Distribution Date, the product of (i) the
applicable Class A-6 Lockout Percentage and (ii)
the product of (a) the Class A-6 Principal Balance
divided by the aggregate Certificate Principal
Balance of the Senior Certificates immediately
prior to such Distribution Date, and (b) the Class
A Turbo Amount for such Distribution Date.
CLASS A-6 LOCKOUT
PERCENTAGE:
---------------------------------------------------
Lockout
Dates (Periods) Percentage
--------------- ----------
December 1999 - November 2002 (1-36) 0%
December 2002 - November 2004 (37-60) 45%
December 2004 - November 2005 (61-72) 80%
December 2005 - November 2006 (73-84) 100%
December 2006 and thereafter (85- ) 300%
---------------------------------------------------
CLASS A TURBO AMOUNT: For any Distribution Date, the lesser of (a) any
remaining amounts after steps (1) through (6) in
the section entitled "Distribution Priority" below,
and (b) the Overcollateralization Deficiency
Amount.
CLASS B INTEREST: The Class B Certificates will receive interest
payments after the Senior Certificates have
received their respective entitlements of monthly
interest.
CLASS B WRITEDOWNS: The Class B writedown for any Distribution Date
(after allocation of collections in the waterfall)
will equal the excess, if any, of (1) the sum of
(a) the current Senior Certificate Balance and (b)
the current Class B Certificate balance over (2)
the current aggregate Pool Balance, plus the amount
in the Pre-Funding Account, if any. The Class B
writedowns cannot exceed the current Class B
Certificate Balance and will be reimbursable at the
bottom of the waterfall.
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DESCRIPTION OF SECURITIES (CONTINUED)
DISTRIBUTION PRIORITY: The total of all payments or other collections (or
advances in lieu thereof) on or in respect of the
loans (but excluding prepayment premiums), net of
servicing fees, trustee fees and premium owed to
the Certificate Insurer, that, together with any
insured payments, generally will be allocated in
the following priority:
(1) To pay current interest to the Senior Certificates,
paid pro rata;
(2) To pay current interest to the holders of the Class
B Certificates;
(3) To pay as principal on the Class A-6 Certificates
the Class A-6 Lockout Distribution Amount until the
Class A-6 Principal Balance has been reduced to
zero;
(4) To pay as principal to the holders of the Class
A-1, Class A-2, Class A-3, Class A-4, Class A-5 and
Class A-6 Certificates (in that order) until the
respective Class Principal Balances thereof are
reduced to zero, the principal collections on the
loans, or after the Stepdown Date, the amount, if
less than the principal collections on the loans,
necessary to reduce the aggregate Class Principal
Balance of the Senior Certificates so that required
Overcollateralization target is reached; provided,
however, that on each Distribution Date occurring
on or after any reduction of the Class Principal
Balances of the Class B Certificates to zero
through writedowns, payment shall be made among the
remaining Senior Certificates pro rata and not
sequentially;
(5) To the Class A-1, Class A-2, Class A-3, Class A-4,
Class A-5, and Class A-6 Certificates, in that
order, in an amount equal to the
Overcollateralization Deficit (i.e. the amount by
which the aggregate Class Principal Balances of the
Senior Certificates exceeds the sum of (i) the
aggregate principal balance of the loans and (ii)
the amount on deposit in the Pre-Funding account,
if any), if any, in reduction of the principal
balances of those classes, in each case until the
principal balance of each class is reduced to zero;
(6) To the Certificate Insurer, to reimburse for any
unpaid reimbursement amounts owing to the
Certificate Insurer;
(7) To the Class A-6 Certificates, the Class A-6
Lockout Turbo Amount, until the certificate
principal balance of the Class A-6 Certificates has
been reduced to zero;
(8) To the Class A-1, Class A-2, Class A-3, Class A-4,
Class A-5, and Class A-6 Certificates, as a
reduction of the respective Class Principal
Balances in that order, in an amount equal to the
remaining Overcollateralization Deficiency Amount
(i.e. the amount necessary to reach the required
Overcollateralization target);
(9) To the holders of the Class B Certificates, any
remaining amounts, until the Class B Principal
Balance is reduced to the zero;
(10) To the Class A Certificates, any interest that was
capped by the available funds cap, pro rata;
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DESCRIPTION OF SECURITIES (CONTINUED)
DISTRIBUTION PRIORITY
(CONTINUED):
(11) To the Class B Certificates, any interest that was
capped by the available funds cap;
(12) On the Distribution Date following the termination
of the Pre-Funding Period, the Pre-Funding Amount,
if any, that is on deposit in the Pre-Funding
Account will be distributed to the Class A and
Class B Certificates, in reduction of their
principal balances, pro rata;
(13) To the Class B Certificates until the Realized
Losses allocated to the Class B Certificates on
prior dates, if any, have been paid in full;
(14) To the servicer in an amount needed to reimburse
the servicer for any non-recoverable Servicing
Advances; and
(15) To the holders of the Class X and Class R
Certificates, any remaining amounts.
PROSPECTUS: The Certificates are being offered pursuant to a
Prospectus which includes a Prospectus Supplement
(together, the "Prospectus"). Complete information
with respect to the Certificates and the loans is
contained in the Prospectus. The material presented
herein is qualified in its entirety by the
information appearing in the Prospectus. To the
extent that the foregoing is inconsistent with the
Prospectus, the Prospectus shall govern in all
respects. Sales of the Certificates may not be
consummated unless the purchaser has received the
Prospectus.
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DESCRIPTION OF HOME EQUITY LOANS AS OF THE
CUT-OFF DATE (11/1/99)
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Aggregate
Field Description Count Balance$ Pool%
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State Alabama 712 39,570,949 22.00
Louisiana 517 26,681,796 14.84
Florida 290 21,424,919 11.91
Tennessee 194 13,902,499 7.73
Georgia 199 13,577,841 7.55
Illinois 124 11,255,542 6.26
Mississippi 214 10,771,236 5.99
Arkansas 89 5,529,307 3.07
California 45 4,194,408 2.33
Texas 53 4,116,916 2.29
North Carolina 46 3,635,131 2.02
Colorado 35 2,661,409 1.48
South Carolina 36 2,155,591 1.20
Wisconsin 19 1,953,475 1.09
New York 29 1,945,758 1.08
Arizona 18 1,901,937 1.06
Nevada 17 1,823,923 1.01
Washington 20 1,717,490 0.95
Virginia 13 1,547,818 0.86
New Mexico 18 1,510,449 0.84
Utah 16 1,269,065 0.71
Maryland 9 1,234,777 0.69
Massachusetts 13 1,210,067 0.67
Ohio 17 1,021,162 0.57
Kentucky 20 1,011,115 0.56
Indiana 3 445,922 0.25
Oregon 7 376,155 0.21
Pennsylvania 2 361,126 0.20
Oklahoma 5 261,986 0.15
Minnesota 3 208,883 0.12
Connecticut 3 186,232 0.10
Michigan 1 173,793 0.10
Missouri 3 146,032 0.08
West Virginia 1 71,175 0.04
------ ----------- ------
2,791 $179,855,887 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
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A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
--------------------------------------------------------------------------------
Xxxxx Xxxxxx
--------------------------------------------------------------------------------
NEW SOUTH HOME EQUITY TRUST 1999-2
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
CONTAINED IN THE PROSPECTUS SUPPLEMENT
--------------------------------------------------------------------------------
DESCRIPTION OF HOME EQUITY LOANS AS OF THE
CUT-OFF DATE (11/1/99)
--------------------------------------------------------------------------------
Aggregate
Field Description Count Balance$ Pool%
--------------------------------------------------------------------------------
Combined LTV 10.001% - 15.000% 1 115,081 0.06
15.001% - 20.000% 2 45,858 0.03
20.001% - 25.000% 5 92,466 0.05
25.001% - 30.000% 13 386,619 0.21
30.001% - 35.000% 14 294,305 0.16
35.001% - 40.000% 20 574,606 0.32
40.001% - 45.000% 25 803,793 0.45
45.001% - 50.000% 47 2,362,992 1.31
50.001% - 55.000% 44 1,607,618 0.89
55.001% - 60.000% 72 3,377,269 1.88
60.001% - 65.000% 113 6,433,712 3.58
65.001% - 70.000% 193 10,675,558 5.94
70.001% - 75.000% 332 23,654,149 13.15
75.001% - 80.000% 778 66,977,356 37.24
80.001% - 85.000% 439 27,599,114 15.35
85.001% - 90.000% 323 19,366,611 10.77
90.001% - 95.000% 132 7,369,526 4.10
95.001% - 100.000% 238 8,119,254 4.51
------ ----------- ------
2,791 $179,855,887 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Aggregate
Field Description Count Balance$ Pool%
--------------------------------------------------------------------------------
Current Coupon 7.001% - 8.000% 40 4,104,396 2.28
8.001% - 9.000% 486 43,765,429 24.33
9.001% - 10.000% 905 66,823,238 37.15
10.001% - 11.000% 711 40,503,840 22.52
11.001% - 12.000% 315 13,901,568 7.73
12.001% - 13.000% 143 4,567,807 2.54
13.001% - 14.000% 121 3,989,556 2.22
14.001% - 15.000% 45 1,362,968 0.76
15.001% - 16.000% 20 710,114 0.39
16.001% - 17.000% 5 126,972 0.07
------ ------------ ------
2,791 $179,855,887 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
--------------------------------------------------------------------------------
Xxxxx Xxxxxx
--------------------------------------------------------------------------------
NEW SOUTH HOME EQUITY TRUST 1999-2
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
CONTAINED IN THE PROSPECTUS SUPPLEMENT
--------------------------------------------------------------------------------
DESCRIPTION OF HOME EQUITY LOANS AS OF THE
CUT-OFF DATE (11/1/99)
--------------------------------------------------------------------------------
Aggregate
Field Description Count Balance$ Pool%
--------------------------------------------------------------------------------
Current Balance $0.01 - $10,000.00 25 235,982 0.13
$10,000.01 - $15,000.00 97 1,258,485 0.70
$15,000.01 - $20,000.00 141 2,505,404 1.39
$20,000.01 - $30,000.00 358 9,159,828 5.09
$30,000.01 - $40,000.00 394 13,896,630 7.73
$40,000.01 - $50,000.00 353 15,887,791 8.83
$50,000.01 - $100,000.00 992 69,159,910 38.45
$100,000.01 - $250,000.00 390 54,260,896 30.17
$250,000.01 - $500,000.00 41 13,490,960 7.50
---- ----------- ------
2,791 $179,855,887 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Aggregate
Field Description Count Balance$ Pool%
--------------------------------------------------------------------------------
Property Type Single Family 2,691 173,669,209 96.56
Two to Four Family 22 1,573,968 0.88
Town House / Condo 58 3,834,957 2.13
Manufactured Housing 20 777,754 0.43
------ ----------- ------
2,791 $179,855,887 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Aggregate
Field Description Count Balance$ Pool%
--------------------------------------------------------------------------------
Loan Age 0 - 6 months 2,664 170,869,779 95.00
6+ - 12 months 96 6,806,776 3.78
12+ - 18 months 27 1,954,154 1.09
18+ - 24 months 4 225,179 0.13
------ ----------- ------
2,791 $179,855,887 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
--------------------------------------------------------------------------------
Xxxxx Xxxxxx
--------------------------------------------------------------------------------
NEW SOUTH HOME EQUITY TRUST 1999-2
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
CONTAINED IN THE PROSPECTUS SUPPLEMENT
--------------------------------------------------------------------------------
DESCRIPTION OF HOME EQUITY LOANS AS OF THE
CUT-OFF DATE (11/1/99)
--------------------------------------------------------------------------------
Aggregate
Field Description Count Balance$ Pool%
--------------------------------------------------------------------------------
Remaining Term Up to 5 years 9 220,637 0.12
5+ - 10 years 149 5,295,533 2.94
10+ - 15 years 1,502 73,362,952 40.79
15+ - 18 years 1 30,145 0.02
18+ - 20 years 195 10,949,695 6.09
20+ - 25 years 4 230,082 0.13
25+ - 30 years 931 89,766,842 49.91
------ ----------- ------
2,791 $179,855,887 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Aggregate
Field Description Count Balance$ Pool%
--------------------------------------------------------------------------------
Occupancy Owner Occupied 2,723 176,625,981 98.20
Non-Owner Occupied 53 2,503,905 1.39
Second Home 15 726,001 0.40
------ ----------- ------
2,791 $179,855,887 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Aggregate
Field Description Count Balance$ Pool%
--------------------------------------------------------------------------------
Lien Type First Lien 2,169 160,922,628 89.47
Second Lien 622 18,933,260 10.53
------ ----------- ------
2,791 $179,855,887 100.00%
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
--------------------------------------------------------------------------------
Xxxxx Xxxxxx
--------------------------------------------------------------------------------
NEW SOUTH HOME EQUITY TRUST 1999-2
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
CONTAINED IN THE PROSPECTUS SUPPLEMENT
--------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS
TO OPTIONAL TERMINATION:
--------------------------------------------------------------------------------
CLASS A-1 (TO CALL)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 8.69 1.62 1.18 0.95 0.81 0.70
First Principal Payment 12/99 12/99 12/99 12/99 12/99 12/99
Last Principal Payment 04/14 04/03 03/02 09/01 05/01 03/01
Principal Window (years) 14.42 3.42 2.33 1.83 1.50 1.33
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CLASS A-2 (TO CALL)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 14.64 3.78 2.60 2.00 1.63 1.39
Yield @ 100.00 7.23% 7.14% 7.08% 7.02% 6.97% 6.92%
Modified Duration 8.83 3.22 2.31 1.81 1.50 1.29
First Principal Payment 04/14 04/03 03/02 09/01 05/01 03/01
Last Principal Payment 11/14 02/04 10/02 02/02 09/01 05/01
Principal Window (years) 0.67 0.92 0.67 0.50 0.42 0.25
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CLASS A-3 (TO CALL)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 19.98 6.19 4.03 3.00 2.38 1.96
Yield @ 100.00 7.34% 7.29% 7.25% 7.21% 7.16% 7.12%
Modified Duration 10.20 4.81 3.39 2.61 2.12 1.77
First Principal Payment 11/14 02/04 10/02 02/02 09/01 05/01
Last Principal Payment 05/24 03/09 07/05 12/03 01/03 05/02
Principal Window (years) 9.58 5.17 2.83 1.92 1.42 1.08
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CLASS A-4 (TO CALL)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 26.11 11.52 7.41 5.00 3.82 3.05
Yield @ 100.00 7.62% 7.60% 7.58% 7.55% 7.51% 7.48%
Modified Duration 11.12 7.46 5.49 4.04 3.22 2.64
First Principal Payment 05/24 03/09 07/05 12/03 01/03 05/02
Last Principal Payment 06/27 11/13 11/09 03/06 07/04 07/03
Principal Window (years) 3.17 4.75 4.42 2.33 1.58 1.25
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
--------------------------------------------------------------------------------
Xxxxx Xxxxxx
--------------------------------------------------------------------------------
NEW SOUTH HOME EQUITY TRUST 1999-2
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
CONTAINED IN THE PROSPECTUS SUPPLEMENT
--------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
TO OPTIONAL TERMINATION (CONTINUED):
--------------------------------------------------------------------------------
CLASS A-5 (TO CALL)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 27.56 14.06 10.22 7.57 5.68 4.50
Yield @ 100.00 7.98% 7.97% 7.95% 7.94% 7.91% 7.89%
Modified Duration 10.94 8.26 6.82 5.53 4.44 3.67
First Principal Payment 06/27 11/13 11/09 03/06 07/04 07/03
Last Principal Payment 06/27 12/13 02/10 09/07 01/06 12/04
Principal Window (years) 0.08 0.17 0.33 1.58 1.58 1.50
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CLASS A-6 (TO CALL)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 11.94 7.62 6.83 6.20 5.38 4.67
Yield @ 100.00 7.48% 7.46% 7.45% 7.44% 7.43% 7.42%
Modified Duration 7.51 5.55 5.14 4.78 4.29 3.83
First Principal Payment 12/02 12/02 12/02 12/02 12/02 12/02
Last Principal Payment 06/27 12/13 02/10 09/07 01/06 12/04
Principal Window (years) 24.58 11.08 7.25 4.83 3.17 2.08
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CLASS B (TO CALL)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 1.73 1.97 2.17 2.32 2.35 2.43
Yield @ 100.00 9.00% 9.05% 9.07% 9.09% 9.10% 9.11%
Modified Duration 1.54 1.73 1.89 2.01 2.04 2.10
First Principal Payment 02/01 03/01 03/01 04/01 06/01 07/01
Last Principal Payment 02/02 07/02 12/02 11/02 09/02 07/02
Principal Window (years) 1.08 1.42 1.83 1.67 1.33 1.08
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
--------------------------------------------------------------------------------
Xxxxx Xxxxxx
--------------------------------------------------------------------------------
NEW SOUTH HOME EQUITY TRUST 1999-2
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
CONTAINED IN THE PROSPECTUS SUPPLEMENT
--------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
TO MATURITY:
--------------------------------------------------------------------------------
CLASS A-1 (TO MATURITY)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 8.69 1.62 1.18 0.95 0.81 0.70
First Principal Payment 12/99 12/99 12/99 12/99 12/99 12/99
Last Principal Payment 04/14 04/03 03/02 09/01 05/01 03/01
Principal Window (years) 14.42 3.42 2.33 1.83 1.50 1.33
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CLASS A-2 (TO MATURITY)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 14.64 3.78 2.60 2.00 1.63 1.39
Yield @ 100.00 7.23% 7.14% 7.08% 7.02% 6.97% 6.92%
Modified Duration 8.83 3.22 2.31 1.81 1.50 1.29
First Principal Payment 04/14 04/03 03/02 09/01 05/01 03/01
Last Principal Payment 11/14 02/04 10/02 02/02 09/01 05/01
Principal Window (years) 0.67 0.92 0.67 0.50 0.42 0.25
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CLASS A-3 (TO MATURITY)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 19.98 6.19 4.03 3.00 2.38 1.96
Yield @ 100.00 7.34% 7.29% 7.25% 7.21% 7.16% 7.12%
Modified Duration 10.20 4.81 3.39 2.61 2.12 1.77
First Principal Payment 11/14 02/04 10/02 02/02 09/01 05/01
Last Principal Payment 05/24 03/09 07/05 12/03 01/03 05/02
Principal Window (years) 9.58 5.17 2.83 1.92 1.42 1.08
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CLASS A-4 (TO MATURITY)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 26.11 11.52 7.41 5.00 3.82 3.05
Yield @ 100.00 7.62% 7.60% 7.58% 7.55% 7.51% 7.48%
Modified Duration 11.12 7.46 5.49 4.04 3.22 2.64
First Principal Payment 05/24 03/09 07/05 12/03 01/03 05/02
Last Principal Payment 06/27 11/13 11/09 03/06 07/04 07/03
Principal Window (years) 3.17 4.75 4.42 2.33 1.58 1.25
--------------------------------------------------------------- ---------------
--------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
--------------------------------------------------------------------------------
Xxxxx Xxxxxx
--------------------------------------------------------------------------------
NEW SOUTH HOME EQUITY TRUST 1999-2
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE INFORMATION
CONTAINED IN THE PROSPECTUS SUPPLEMENT
--------------------------------------------------------------------------------
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
TO MATURITY (CONTINUED):
--------------------------------------------------------------------------------
CLASS A-5 (TO MATURITY)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 28.55 17.25 13.06 9.80 7.00 4.96
Yield @ 100.00 7.99% 8.02% 8.03% 8.03% 8.00% 7.93%
Modified Duration 11.05 9.10 7.87 6.54 5.12 3.94
First Principal Payment 06/27 11/13 11/09 03/06 07/04 07/03
Last Principal Payment 05/29 12/24 01/19 11/14 05/12 02/10
Principal Window (years) 2.00 11.17 9.25 8.75 7.92 6.67
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CLASS A-6 (TO MATURITY)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 11.94 7.63 6.89 6.39 6.02 5.71
Yield @ 100.00 7.48% 7.46% 7.45% 7.46% 7.48% 7.51%
Modified Duration 7.51 5.56 5.16 4.88 4.66 4.47
First Principal Payment 12/02 12/02 12/02 12/02 12/02 12/02
Last Principal Payment 03/29 12/23 04/18 04/14 02/12 12/09
Principal Window (years) 26.33 21.08 15.42 11.42 9.25 7.08
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CLASS B (TO MATURITY)
--------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
--------------------------------------------------------------------------------
Average Life (years) 1.73 1.97 2.17 2.32 2.35 2.43
Yield @ 100.00 9.00% 9.05% 9.07% 9.09% 9.10% 9.11%
Modified Duration 1.54 1.73 1.89 2.01 2.04 2.10
First Principal Payment 02/01 03/01 03/01 04/01 06/01 07/01
Last Principal Payment 02/02 07/02 12/02 11/02 09/02 07/02
Principal Window (years) 1.08 1.42 1.83 1.67 1.33 1.08
--------------------------------------------------------------------------------
