________________________________________________________________
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest Event
Reported): August 18, 1997
MORGAN STANLEY ABS CAPITAL II INC.
-----------------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-26581 Not Yet Available
- ---------------------------- ------------ -----------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
1585 Broadway
New York, New York 10036
- ------------------ ----------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 761-2063
-----------------
- -------------------------------------------------------------------------
(Former Address:
- -------------------------------------------------------------------------
Item 5. Other Events
------------
Filing of Computational Materials.
- ---------------------------------
In connection with the offering of the BankBoston Recreational Vehicle
Asset Backed Trust 1997-1 (the "Trust") Asset Backed Notes and Asset Backed
Certificates (together, the "Securities"), Morgan Stanley & Co. Incorporated,
as the lead manager of the Securities has provided certain materials (the
"Computational Materials") for distribution to its potential investors.
For purposes of this Form 8-K, Computational Materials shall mean
computer generated tables and/or charts displaying, with respect to any Class
or Classes of Securities, any of the following: yield; average life;
duration; expected maturity; interest rate sensitivity; loss sensitivity;
cash flow characteristics; background information regarding the installment
loans; the proposed structure; decrement tables; or similar information
(tabular or otherwise) of a statistical, mathematical, tabular or
computational nature. The Computational Materials provided by Morgan Stanley
& Co. Incorporated are attached hereto as Exhibit 99.1. The Computational
Materials provided by the other underwriters were identical to those provided
by Morgan Stanley & Co. Incorporated except for the legends attached thereon,
which in the case of the Computational Materials provided by Merrill Lynch,
Pierce, Fenner & Smith Incorporated are included as Exhibit 99.2 and in the
case of Deutsche Morgan Grenfell, Inc. are included as Exhibit 99.3.
Item 7. Financial Statements, Pro Forma Financial
-----------------------------------------
Information and Exhibits.
------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials
99.2 Legend-Merrill Lynch, Pierce, Fenner & Smith Incorporated
99.3 Legend-Deutsche Morgan Grenfell, Inc.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
MORGAN STANLEY ABS CAPITAL II INC.
By: /s/ Murray C. Stoltz
--------------------------------------
Name: Murray C. Stoltz
Title:
Dated: August 18, 1997
Exhibit Index
-------------
Exhibit Page
- ------- ----
99.1 Computational Materials 6
99.2 Legend-Merrill Lynch, Pierce, Fenner & Smith Incorporated 13
99.3 Legend-Deutsche Morgan Grenfell, Inc. 14
EXHIBIT 99
EXHIBIT 99.1
MORGAN STANLEY DEAN WITTER August 8, 1997
Asset Finance Group [LOGO]
ABS/MBS Capital Markets
ABS NEW TRANSACTION
COMPUTATIONAL MATERIALS
___________________
$850,000,000
MORGAN STANLEY ABS CAPITAL II INC.
BANKBOSTON RECREATIONAL VEHICLE ASSET-BACKED TRUST 1997-1
RECREATIONAL VEHICLE LOAN ABS
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part
on information provided by BancBoston, N.A.. with respect to the expected
characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return
indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern.
This information may not be used or otherwise disseminated in connection
with the offer or sale of these or any other securities, except in
connection with the initial offer or sale of these securities to you to the
extent set forth below. NO REPRESENTATION IS MADE AS TO THE
APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy
or sell or a solicitation of an offer to buy or sell any security or
instrument or to participate in any particular trading strategy. ANY SUCH
OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE
PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD
CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION
IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST
IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS
AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED
HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. In the event of any such offering, these materials, including
any description of the loans contained herein, shall be deemed superseded,
amended and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
MORGAN STANLEY DEAN WITTER August 7, 1997
Asset Finance Group [LOGO]
ABS/MBS Capital Markets
MORGAN STANLEY ABS CAPITAL II INC.
$850,000,000 BANKBOSTON RECREATIONAL VEHICLE ASSET-BACKED TRUST 1997-1
TRANSACTION HIGHLIGHTS
______________________
<TABLE>
<CAPTION>
SCHEDULE PAYMENT WINDOW
TO 10%
OPTIONAL CALL TO MATURITY
AVERAGE LIFE EXP. FINAL
CLASS EXPECTED TO 10% MATURITY TO
CLASS SIZE RATINGS OPTIONAL # OF # OF 10% OPTIONAL BENCHMARK
CLASS SIZE (%) S&P/MOODY'S CALL/MATURITY/(1)/ DATES MONTHS DATES MONTHS CALL/MATURITY/(1)/ TREASURY(2)
- ----- ---------- ------- ------------ ------------------ ----------- ------ ------------ ------ ------------------ ---------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A1 61,900,000 7.28% A1+/P1 0.16Y/0.16Y 9/97-12/97 4 9/97-12/97 4 12/15/97/ 12/15/97 2 MO LIBOR
A2 100,000,000 11.76% AAA/ Aaa 0.49Y/0.49Y 12/97- 4/98 5 12/97- 4/98 5 4/15/98/ 4/15/98 7-1/4 - 2/98
A3 130,000,000 15.29% AAA/ Aaa 0.99Y/0.99Y 4/98-12/98 9 4/98-12/98 9 12/15/98/ 12/15/98 5-7/8 - 8/98
A4 90,000,000 10.59% AAA/ Aaa 1.51Y/1.51Y 12/98- 5/99 6 12/98- 5/99 6 5/15/99/ 5/15/99 5-7/8 - 2/99
A5 115,000,000 13.53% AAA/ Aaa 2.04Y/2.04Y 5/99-12/99 8 5/99-12/99 8 12/15/99/ 12/15/99 2YR ON THE RUN
A6 70,000,000 8.24% AAA/ Aaa 2.56Y/2.56Y 12/99- 5/00 6 12/99- 5/00 6 5/15/00/ 5/15/00 5-7/8 - 2/00
A7 90,000,000 10.59% AAA/ Aaa 3.05Y/3.05Y 5/00-12/00 8 5/00-12/00 8 12/15/00/ 12/15/00 3YR ON THE RUN
A8 37,100,000 4.36% AAA/ Aaa 3.46Y/3.46Y 12/00- 3/01 4 12/00- 3/01 4 3/15/01/ 3/15/01 5-5/8 - 2/01
A9 85,000,000 10.00% AAA/ Aaa 3.85Y/3.97Y 5/01- 7/01 3 5/01-11/01 7 7/15/01/ 11/15/01 6-1/2 - 8/01
A10 10,000,000 1.18% AAA/ Aaa 1.99Y/1.99Y 8/99- 8/99 1 8/99- 8/99 1 8/15/99/ 8/15/99 2YR ON THE RUN
A11 10,000,000 1.18% AAA/ Aaa 2.99Y/2.99Y 8/00- 8/00 1 8/00- 8/00 1 8/15/00/ 8/15/00 3YR ON THE RUN
CERT 51,000,000 6.00% BBB/ Baa1 3.91Y/4.42Y 7/01- 7/01 1 10/01- 9/02 12 7/15/01/ 9/15/02 6-1/4 - 2/02
</TABLE>
Note: (1) See "Pricing Prepayment Speed" below.
____
(2) vs. "To Maturity" average life
SELLER/SERVICER: BankBoston, N.A.
INDENTURE TRUSTEE: The Chase Manhattan Bank, N.A.
OWNER TRUSTEE: Wilmington Trust Company
UNDERWRITERS: MORGAN STANLEY DEAN WITTER (Lead Manager),
BancBoston Securities, Inc., Deutsche Morgan
Grenfell, Merrill Lynch (co-managers)
POOL ASSET TYPES: Fixed rate, amortizing loans collateralized by
Recreational Vehicles (98%) and Automobiles (2%)
CLASSES A10 AND All principal cash flow received from the 24th month
A11 NOTES: on the underlying receivables will first be used to
retire the Class A10 Notes. Similarly, all of the
principal cash flow from the 36th month on the
receivables will first pay down the Class A11 Notes.
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part
on information provided by BancBoston, N.A., with respect to the expected
characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return
indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern.
This information may not be used or otherwise disseminated in connection
with the offer or sale of these or any other securities, except in
connection with the initial offer or sale of these securities to you to the
extent set forth below. NO REPRESENTATION IS MADE AS TO THE
APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy
or sell or a solicitation of an offer to buy or sell any security or
instrument or to participate in any particular trading strategy. ANY SUCH
OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE
PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD
CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION
IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST
IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS
AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED
HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. In the event of any such offering, these materials, including
any description of the loans contained herein, shall be deemed superseded,
amended and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
PRICING PREPAYMENT
SPEED: 1.4% ABS.
DISTRIBUTION DATES: For all classes except the Class A9 Notes, the 15th
of each month, beginning September 15, 1997. With
respect to the Class A9 Notes, such Class will be
paid quarterly beginning November 15, 1997. This
transaction will have a 14-day payment delay, except
the Class A1 Notes.
DAY COUNT BASIS: 30/360 interest accrual for fixed Notes and
Certificates except the A1 Notes, which are ACT/360.
LEGAL FINAL MATURITY: A1 September 15, 1998
A2 September 15, 2000
A3 December 15, 2002
A4 April 15, 2004
A5 October 15, 2005
A6 January 15, 2007
A7 July 15, 2008
A8 February 15, 2009
A9 July 15, 2010
A10 April 15, 2001
A11 January 15, 2003
Cert. September 15, 2016
OPTIONAL CALL DATE: The Servicer may elect to exercise a clean-up call
of the collateral when the outstanding collateral
balance is equal to or less than 10% of the original
collateral balance. The purchase price of the
collateral will be equal to par plus accrued
interest.
TRUST TAX STATUS: The Notes will be characterized as debt, and the
Trust will not be characterized as an association
(or publicly traded partnership) taxable as a
corporation. Each Noteholder, by the acceptance of
a Note, will agree to treat the Notes as
indebtedness and each Certificateholder, by the
acceptance of a Certificate, will agree to treat the
Trust as a partnership in which the
Certificateholders are partners for federal tax
purposes.
ERISA ELIGIBILITY: The Class A Notes will be ERISA eligible and the
Certificates will NOT be ERISA eligible.
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part
on information provided by BancBoston, N.A., with respect to the expected
characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return
indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern.
This information may not be used or otherwise disseminated in connection
with the offer or sale of these or any other securities, except in
connection with the initial offer or sale of these securities to you to the
extent set forth below. NO REPRESENTATION IS MADE AS TO THE
APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy
or sell or a solicitation of an offer to buy or sell any security or
instrument or to participate in any particular trading strategy. ANY SUCH
OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE
PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD
CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION
IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST
IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS
AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED
HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. In the event of any such offering, these materials, including
any description of the loans contained herein, shall be deemed superseded,
amended and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
Average Life Sensitivity to Changes in Prepayment Rates
_______________________________________________________
Average Life Sensitivity to Changes in Prepayment Rates/(1)/
Assumes a 10% Optional Call
<TABLE>
<CAPTION>
Prepayment Speed (ABS)
0.0% 0.5% 1.0% 1.2% 1.4% 1.6% 1.8% 2.0%
------ ------ ------ ------ ------ ------ ------ -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A1 Notes 0.53 0.31 0.21 0.19 0.16 0.15 0.14 0.12
Class A2 Notes 1.95 1.02 0.65 0.56 0.49 0.43 0.38 0.34
Class A3 Notes 4.02 2.20 1.35 1.15 0.99 0.86 0.75 0.66
Class A4 Notes 5.78 3.47 2.11 1.76 1.51 1.30 1.13 0.99
Class A5 Notes 7.20 4.71 2.89 2.42 2.04 1.73 1.50 1.31
Class A6 Notes 8.50 5.92 3.65 3.05 2.56 2.19 1.85 1.61
Class A7 Notes 9.97 7.05 4.37 3.64 3.05 2.57 2.22 1.89
Class A8 Notes 11.02 8.06 5.00 4.13 3.46 2.90 2.48 2.14
Class A9 Notes 11.89 9.39 5.66 4.66 3.85 3.28 2.78 2.37
Class A10 Notes 2.03 2.00 1.99 1.99 1.99 1.99 1.99 1.99
Class A11 Notes 3.03 3.01 2.99 2.99 2.99 2.99 2.83 2.41
Certificates 12.07 9.74 5.83 4.74 3.91 3.33 2.83 2.41
</TABLE>
NOTE:
----
(1) "1.4%" column notes pricing prepayment speeds of BankBoston
Recreational Vehicles 1997-1.
Average Life Sensitivity to Changes in Prepayment Rates/(1)/
Assumes no 10% Optional Call
<TABLE>
<CAPTION>
Prepayment Speed (ABS)
0.0% 0.5% 1.0% 1.2% 1.4% 1.6% 1.8% 2.0%
------ ------ ------ ------ ------ ------ ------ -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A1 Notes 0.53 0.31 0.21 0.19 0.16 0.15 0.14 0.12
Class A2 Notes 1.95 1.02 0.65 0.56 0.49 0.43 0.38 0.34
Class A3 Notes 4.02 2.20 1.35 1.15 0.99 0.86 0.75 0.66
Class A4 Notes 5.78 3.47 2.11 1.76 1.51 1.30 1.13 0.99
Class A5 Notes 7.20 4.71 2.89 2.42 2.04 1.73 1.50 1.31
Class A6 Notes 8.50 5.92 3.65 3.05 2.56 2.19 1.85 1.61
Class A7 Notes 9.97 7.05 4.37 3.64 3.05 2.57 2.22 1.89
Class A8 Notes 11.02 8.06 5.00 4.13 3.46 2.90 2.48 2.14
Class A9 Notes 12.02 9.62 5.77 4.75 3.97 3.36 2.84 2.44
Class A10 Notes 2.03 2.00 1.99 1.99 1.99 1.99 1.99 1.99
Class A11 Notes 3.03 3.01 2.99 2.99 2.99 2.99 2.99 2.58
Certificates 13.36 11.85 6.61 5.34 4.42 3.73 3.18 2.74
</TABLE>
NOTE:
----
(1) "1.4%" column notes pricing prepayment speeds of BankBoston
Recreational Vehicles 1997-1.
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part
on information provided by BancBoston, N.A., with respect to the expected
characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the
assumptions may have a material impact on the information set forth in these
materials. No representation is made that any performance or return
indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern.
This information may not be used or otherwise disseminated in connection
with the offer or sale of these or any other securities, except in
connection with the initial offer or sale of these securities to you to the
extent set forth below. NO REPRESENTATION IS MADE AS TO THE
APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy
or sell or a solicitation of an offer to buy or sell any security or
instrument or to participate in any particular trading strategy. ANY SUCH
OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE
PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD
CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION
IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST
IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS
AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED
HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. In the event of any such offering, these materials, including
any description of the loans contained herein, shall be deemed superseded,
amended and supplemented in their entirety by such Prospectus and Prospectus
Supplement. To Our Readers Worldwide: In addition, please note that this
information has been provided by Morgan Stanley & Co. Incorporated and
approved by Morgan Stanley & Co. International Limited, a member of the
Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
EXHIBIT 99.2
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are furnished to you solely by
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not
by the issuer of the securities or any of its affiliates. The issuer of
these securities has not prepared or taken part in the preparation of these
materials. Neither Merrill Lynch, the issuer of the securities nor any of
its affiliates makes any representation as to the accuracy or completeness of
the information herein. The information herein is preliminary, and will be
superseded by the applicable Prospectus Supplement and by any other
information subsequently filed with the Securities and Exchange Commission.
The information herein may not be provided by the addressees to any third
party other than the addressee's legal, tax, financial and/or accounting
advisors for the purposes of evaluating said material.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated therein. As such, no assurance can be given as to
the accuracy, appropriateness or completeness of the Computational Materials
in any particular context; or as to whether the Computational Materials
and/or the assumptions upon which they are based reflect present market
conditions or future market performance. These Computational Materials
should not be construed as either projections or predictions or as legal,
tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment assumptions and actual prepayment experience may
dramatically affect such yields or weighted average lives. In addition, it
is possible that prepayments on the underlying assets will occur at rates
slower or faster than the rates assumed in the attached Computational
Materials. Furthermore, unless otherwise provided, the Computational
Materials assume no losses on the underlying assets and no interest
shortfall. The specific characteristics of the securities may differ from
those shown in the Computational Materials due to differences between actual
underlying assets and the hypothetical assets used in preparing the
Computational Materials. The principal amount and designation of any
security described in the Computational Materials are subject to change prior
to issuance.
Although a registration statement (including the prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with the Securities and Exchange Commission. This communication shall not
constitute an offer to sell or the solicitation of any offer to buy nor shall
there be any sale of the securities discussed in this communication in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for
definitive Computational Materials on any matter discussed in this
communication. A final prospectus and prospectus supplement may be
obtained by contacting the Merrill Lynch Trading Desk at (212) 449-3659.
Please be advised that asset-backed securities may not be appropriate for all
investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayments, yield curve and interest rate
risk. Investors should fully consider the risk of an investment in these
securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
Exhibit 99.3
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by BancBoston, N.A., with respect to the expected
characteristics of the pool of loans in which these securities will represent
undivided beneficial interests. The actual characteristics and performance
of the loans will differ from the assumptions used in preparing these
materials, which are hypothetical in nature. Changes in the assumptions may
have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will
be achieved. For example, it is very unlikely that the loans will prepay at
a constant rate or follow a predictable pattern. This information may not be
used or otherwise disseminated in connection with the offer or sale of these
or any other securities, except in connection with the initial offer or sale
of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF
THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional
information is available upon request. These materials do not constitute an
offer to buy or sell or a solicitation of an offer to buy or sell any
security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN
SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE
TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In
the event of any such offering, these materials, including any description of
the loans contained herein, shall be deemed superseded, amended and
supplemented in their entirety by such Prospectus and Prospectus Supplement.
To Our Readers Worldwide: In addition, please note that this information has
been provided by Deutsche Morgan Grenfell. We recommend that investors
obtain the advice of their Deutsche Morgan Grenfell representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED
BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
