================================================================================
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) June 14, 1999
SUPERIOR BANK FSB (as depositor under the Pooling and Servicing Agreement, dated
as of June 1, 1999, providing for the issuance of AFC Mortgage Loan Asset Backed
Certificates, Series 1999-2)
SUPERIOR BANK FSB
------------------------------------------------------
(Exact name of registrant as specified in its charter)
UNITED STATES 333-61691 36-1414142
- ---------------------------- ----------- ----------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification Number)
ONE LINCOLN CENTRE
Oakbrook Terrace, Illinois 60181
-------------------------- ----------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (630) 916-4000
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<PAGE>
-2-
ITEM 5. OTHER EVENTS.
On or about June 24, 1999, the Registrant will cause the issuance and sale
of approximately $700,000,000 initial principal amount of AFC Mortgage Loan
Asset Backed Certificates, Series 1999-2, Class 1A, Class 2A and Class R
(collectively,the "Certificates") pursuant to a Pooling and Servicing Agreement
to be dated as of June 1, 1999, by and between the Registrant, as depositor and
servicer, and LaSalle National Bank as trustee.
In connection with the sale of AFC Mortgage Loan Asset Backed Certificates,
Series 1999-2, Class 1A and Class 2A (collectively, the "Underwritten
Certificates"), the Registrant has been advised by Merrill Lynch, Pierce, Fenner
& Smith Incorporated and J.P. Morgan Securities Inc. (together, the
"Underwriters") that the Underwriters have furnished to prospective investors
certain yield tables and other computational materials, collateral term sheets
and structural term sheets (the "Computational Materials") with respect to the
Underwritten Certificates following the effective date of Registration Statement
No. 333-61691, which Computational Materials are being filed as exhibits to this
report.
The information in the Computational Materials will be superseded by the
Prospectus Supplement relating to the Certificates and by any other information
subsequently filed with the Securities and Exchange Commission.
The Computational Materials were prepared by the Underwriters at the
request of certain prospective investors, based on collateral information
provided by the Registrant and assumptions provided by, and satisfying the
special requirements of, such prospective investors. The Computational Materials
may be based on assumptions that differ from the assumptions set forth in the
Prospectus Supplement. The Computational Materials may not include, and do not
purport to include, information based on assumptions representing a complete set
of possible scenarios. Accordingly, the Computational Materials may not be
relevant to or appropriate for investors other than those specifically
requesting them.
In addition, the actual characteristics and performance of the mortgage
loans underlying the Underwritten Certificates (the "Mortgage Loans") may differ
from the assumptions used in the Computational Materials, which are hypothetical
in nature and which were provided to certain investors only to give a general
sense of how the yield, average life, duration, expected maturity, interest rate
sensitivity and cash flow characteristics of a particular class of Underwritten
Certificates might vary under varying prepayment and other scenarios. Any
difference between such assumptions and the actual characteristics and
performance of the Mortgage Loans will affect the actual yield, average life,
duration, expected maturity, interest rate sensitivity and cash flow
characteristics of the Underwritten Certificates.
<PAGE>
-3-
ITEM 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
(a) FINANCIAL STATEMENTS.
Not Applicable.
(b) PRO FORMA FINANCIAL INFORMATION.
Not Applicable.
(c) EXHIBITS
Item 601(a) of
Regulation S-K
Exhibit No. Exhibit No. Description
- ----------- -------------- -----------------------
99.1 99 Computational Materials
<PAGE>
-4-
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 thereunto duly authorized.
SUPERIOR BANK FSB
By: /s/ WILLIAM C. BRACKEN
----------------------------------
Name: William C. Bracken
Title: Senior Vice President
and Chief Financial Officer
Dated: June 14, 1999
<PAGE>
-5-
EXHIBIT INDEX
Exhibit Description
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99.1 Computational Materials
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
ABS NEW TRANSACTION
COMPUTATIONAL MATERIALS
-----------------------
$700,000,000
AFC MORTGAGE LOAN ASSET BACKED CERTIFICATES,
SERIES 1999-2
SUPERIOR BANK FSB
DEPOSITOR
SUPERIOR BANK FSB
SERVICER
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Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
1
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
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.
None of 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 the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the Computational
Materials are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
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 information 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) 449-5320.
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.
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
2
<PAGE>
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COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
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<TABLE>
<CAPTION>
- --------------- --------------- --------------------- ------------------ -------- ------------ ------------- ---------------
EXPECTED LEGAL EXPECTED WGT. AVG.
CLASS RATINGS AVG. FINAL PAYMENT NET
CLASS SIZE TRANCHE TYPE MOODY'S/S&P LIFE PAYMENT WINDOW LIFE CAP
- --------------- --------------- --------------------- ------------------ -------- ------------ ------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
To Call:
1A $375,000,000 LIBOR Floater (1) Aaa/AAA 3.43 6/25/29 1 - 115 9.884%
2A $325,000,000 LIBOR Floater (2) Aaa/AAA 2.75 6/25/29 1 - 115 15.868%
To Maturity:
1A $375,000,000 LIBOR Floater (1) Aaa/AAA 3.55 6/25/29 1 - 190 9.884%
2A $325,000,000 LIBOR Floater (2) Aaa/AAA 2.83 6/25/29 1 - 196 15.868%
- --------------- --------------- --------------------- ------------------ -------- ------------ ------------- ---------------
</TABLE>
(1) Subject to the Class 1A Cap Rate.
(2) Subject to the Class 2A Cap Rate with a Class 2A Available Funds Cap Carry
Forward Amount.
DEPOSITOR AND SERVICER: Superior Bank FSB
SERIES: AFC Mortgage Loan Asset Backed Certificates,
Series 1999-2
TRUSTEE: LaSalle National Bank
UNDERWRITERS: Merrill Lynch, Pierce, Fenner & Smith Incorporated
(Lead) & J.P. Morgan Securities Inc. (Co-Manager)
BOND INSURER: Financial Guaranty Insurance Company ("FGIC")
CUT-OFF DATE: June 1, 1999
EXP. PRICING: The week of June 14, 1999
EXP. SETTLEMENT: On or about June 24, 1999
DISTRIBUTION DATE: The 25th day of each month (or if such 25th day is not
a business day, the next succeeding business day),
commencing on July 26, 1999.
DAY COUNT: Actual/360 for Class 1A and Class 2A.
CLASS 1A PREPAYMENT
ASSUMPTION: With respect to the Class 1A Certificates, a 100%
Prepayment Assumption assumes a CPR of 2% per
annum in the first month of the life of the
Mortgage Loans and an additional 1.2% per annum
each month thereafter until the twenty-first
month and 26% CPR thereafter.
CLASS 2A PREPAYMENT
ASSUMPTION: 28% CPR
SMMEA: The Class 1A Certificates will not be SMMEA eligible.
The Class 2A Certificates will not be SMMEA
eligible until such time as the balance of the
related Pre-Funding Account is reduced to zero.
ERISA: Subject to the conditions set forth in the Prospectus
Supplement, it is expected that the Class 1A and 2A
Certificates will generally be ERISA eligible
under the Prohibited Transaction Exemptions granted
to the Underwriters by the Department of Labor.
Prospective purchasers should consult their counsel.
TAX STATUS: REMIC
WGT. AVG. NET LIFE CAP: Class 1A: Gross Weighted Avg. Coupon
(10.744%) - Expenses (0.86%) = 9.884%
Class 2A: Weighted Avg. Lifetime Cap
(16.728%) - Expenses (0.86%) = 15.868%
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
3
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
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COLLATERAL:
GROUP 1 MORTGAGE LOANS: Conventional, fixed-rate mortgage loans
secured by first or second liens on one- to
four-family residential properties, condominiums
and manufactured homes ("Single Family
Properties"), residential properties consisting
of five or more dwelling units ("Multifamily
Properties"), commercial properties ("Commercial
Properties") and mixed residential and commercial
structures ("Mixed Use Properties") plus Group 1
Pre-Funding Account. In addition, Group 1 will
include "Periodic Payment Loans" (16.87% of Group
1 before pre-funding), "Deferred Payment Loans"
(6.30% of Group 1 before pre-funding), "Temporary
Buydown Loans" (0.96% of Group 1 before
pre-funding), "Permanent Buydown Loans" (9.91% of
Group 1 before pre-funding) and "Permanent
Buydown Companion Loans" ($2,396,776). See below
for further description.
GROUP 2 MORTGAGE LOANS: Conventional, adjustable rate mortgage loans
secured by first liens on Single Family
Properties indexed to 6 Month LIBOR plus Group 2
Pre-Funding account. In addition, Group 2 will
include "Deferred Payment Loans" (5.42% of Group
2 before pre-funding) and "Temporary Buydown
Loans" (1.05% of Group 2 before pre-funding). See
below for further description.
CREDIT
ENHANCEMENT: Credit enhancement refers to features of the
offered certificates that are intended to reduce
the effect on holders of such certificates of
losses on the mortgage loans. The credit
enhancement consists of excess spread,
cross-collateralization, overcollateralization
and the certificate insurance policy issued by
FGIC.
EXCESS SPREAD: On each remittance date, the amount of interest
due on the mortgage loans of each group will
generally be greater than the amount needed to
make monthly interest payments on the related
certificates and to pay certain fees for such
month. Excess spread from a group of mortgage
loans will be used first to cover any shortfalls
in the required payments of principal on the
offered certificates related to such group, and
then for cross-collateralization and/or
overcollateralization.
OVERCOLLATERAL-
IZATION: Overcollateralization refers to the actual amount
by which the aggregate principal balance due on
the mortgage loans in a group exceeds the
aggregate principal balance due on the related
offered certificates. That excess is intended to
protect certificateholders against shortfalls in
required payments on the related offered
certificates.
An initial amount of overcollateralization will
be required for each group. On the closing date,
the certificate insurer will also specify the
required overcollateralization for each group
(which will vary throughout the life of the
certificates). The required overcollateralization
amount for a group is intended to be reached by
an additional payment of principal from amounts
that are available for such group after payments
of required principal and interest payments on
all offered certificates and certain fees and
expenses. Such amount, if any, will be used to
pay principal on the related offered certificates
on an accelerated basis in relation to the
related mortgage loans, thereby increasing the
amount of overcollateralization for the related
group.
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
4
<PAGE>
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COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
CROSS-
COLLATERALIZATION: Cross-collateralization generally refers to the
use of amounts received on one group of mortgage
loans, after payment of required interest and
principal on the related offered certificates, to
pay shortfalls of required interest and principal
on the offered certificates related to the other
group. In addition, after payments of required
interest and principal payments on both groups,
excess funds for one group will be used, if
necessary, first to reach the required
overcollateralization amount for such group, and
then to reach the required overcollateralization
amount for the other group.
The excess funds for a group are from two
sources: (1) excess spread that is not needed to
pay shortfalls in principal for such group and
(2) excess principal that is not needed because
principal received for such group exceeds the
amount necessary to reach or maintain the
required overcollateralization amount.
PRE-FUNDING AMOUNTS:
Original Group 1 Pre-Funding Amount: $133,304,954 (approximate)
Original Group 2 Pre-Funding Amount: $118,187,547 (approximate)
The Original Group 1 Pre-Funding Amount and Original Group 2 Pre-Funding Amount
will be reduced during the Funding Period (approx. 2 months) by the amounts
thereof used to purchase the related Subsequent Mortgage Loans. Any amount
remaining at the end of the Funding Period in Original Group 1 and Group 2
Pre-Funding Accounts will be used to prepay principal to the Class 1A and Class
2A Certificates, respectively.
CLASS 1A CERTIFICATES:
PRIOR TO THE AVAILABILITY OF THE 5% CLEAN-UP CALL (AS DEFINED BELOW):
On each Remittance Date, the Class 1A Pass-Through Rate will be a rate equal to
the lesser of (i) One-Month LIBOR plus [ ]% per annum, and (ii) the weighted
average of the Mortgage Rates of the Group 1 Mortgage Loans minus, with respect
to Group 1, the sum of (a) the Servicing Fee Rate, (b) the rate at which the
monthly premium payable to the Certificate Insurer is calculated and (c) the
rate at which the Annual Trustee Expense Amount is calculated (the rate
described in this clause (ii), the "Class 1A Cap Rate").
CLASS 2A CERTIFICATES:
PRIOR TO THE AVAILABILITY OF THE 5% CLEAN-UP CALL (AS DEFINED BELOW):
On each Remittance Date, the Class 2A Pass-Through Rate will be a rate equal to
the lesser of (i) One-Month LIBOR plus [ ]% per annum, and (ii) the weighted
average of the Mortgage Rates of the Group 2 Mortgage Loans minus, with respect
to Group 2, the sum of (a) the Servicing Fee Rate, (b) the rate at which the
monthly premium payable to the Certificate Insurer is calculated and (c) the
rate at which the Annual Trustee Expense Amount is calculated (the rate
described in this clause (ii), the "Class 2A Cap Rate").
One-Month LIBOR will be determined on the second Business Day preceding the
beginning of each Accrual Period with respect to the Class 1A and Class 2A
Certificates.
After the availability of the 5% cleanup call, the Class 1A and 2A Pass-Through
Rates will increase approximately 40bps on and after the date on which the 5%
clean-up call becomes available but is not exercised, subject to the Class 1A
and Class 2A Cap Rates.
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
5
<PAGE>
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COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
CLASS 2A AVAILABLE FUNDS CAP CARRY FORWARD AMOUNT:
If on any Distribution Date, the Class 2A Pass-Through Rate is limited by the
Class 2A Cap Rate, you will be entitled to receive the excess of i) the interest
distributable had the Pass-Through Rate been based on the LIBOR Rate (but not
more that the weighted average maximum mortgage rate on all mortgage loans)
minus (a) the Servicing Fee Rate, (b) the trustee fee, and (c) the monthly
premium payable to the Certificate Insurer), over ii) the interest actually
distributed based on the Class 2A Cap Rate plus iii) interest thereon at the
applicable Pass-Through Rate. No Class 2A Available Funds Cap Carry Forward
Amount will be paid to the Class 2A Certificateholder if the balance of such
Class 2A Certificate is reduced to zero. The ratings of the Class 2A
Certificates do not address the likelihood of the payment of any Class 2A
Available Funds Cap Carry Forward Amounts and Class 2A Available Funds Cap Carry
Forward Amounts will not be covered by Insured Payments from FGIC.
PRINCIPAL DISTRIBUTIONS:
The Class 1A Certificate will be backed primarily by cash flow from Group 1
Mortgage Loans.
The Class 2A Certificate will be backed primarily by cash flow from Group 2
Mortgage Loans.
Each Class 1A and 2A Certificate will generally receive all scheduled and
unscheduled principal distributions from their respective groups until they are
retired.
OPTIONAL TERMINATION/5% CLEANUP CALL:
When the aggregate principal balance of the mortgage loans (and properties
acquired in respect thereof) remaining in the trust has been reduced to less
than 5% of the sum of (1) the aggregate principal balance of the mortgage loans
as of June 1, 1999, and (2) the aggregate amounts on deposit in the pre-funding
accounts on June 1, 1999, the servicer, at its option, may purchase all of such
mortgage loans and properties on behalf of the trust, and thereby cause an early
retirement of the certificates.
COLLATERAL OVERVIEW (INITIAL MORTGAGE LOANS):
MANUFACTURED HOME LOANS
Mortgage loans secured by manufactured homes that are deemed to be real property
in the jurisdiction in which the mortgaged property is located. These loans will
constitute 9.56% of Group 1 and 8.70% of Group 2, by Group Principal Balance,
before pre-funding.
PERIODIC PAYMENT LOANS
Mortgage loans which generally are the same as the other mortgage loans in the
transaction but which accrue interest on a 28/364 day basis. Periodic Payment
Loans will constitute 16.87% of Group 1, by Group Principal Balance, before
pre-funding. In addition, some of these loans will allow for the mortgagor to
use a limited number of payment vouchers to defer principal portions of the
corresponding Periodic Payment and pay only the interest portion due on such
payment dates. Any principal deferred in such a manner will be due in full on
the maturity date of the related Periodic Payment Loan.
DEFERRED PAYMENT LOANS
Mortgage Loans which permit the Mortgagor to defer the first two or three
payments due under the related Note. Such election must be made at the time of
origination. Under certain limited circumstances, these deferred payments may be
forgiven by the Mortgagee on the maturity date of the loan. These loans will
constitute 6.30% of Group 1 and 5.42% of Group 2, by Group Principal Balance,
before pre-funding.
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
6
<PAGE>
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COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
TEMPORARY BUYDOWN LOANS
Approximately 0.96% of Group 1 and 1.05% of Group 2 before pre-funding, provide
that the Mortgage Rate stated therein be reduced by 2% during the first twelve
month period of the loans, and reduced by 1% during the second twelve month
period of the loan, after which such Mortgage Rate will apply. For example, a
loan with a stated Mortgage Rate of 10% will actually have a Mortgage Rate of 8%
during the first 12 month period, 9% during the second 12 month period and will
return to 10% for the remainder of the loan term. All modeling assumptions
herein use the actual reduced Mortgage Rates for the first 24 months, not the
stated Mortgage Rate, for all such Temporary Buydown Loans.
PERMANENT BUYDOWN LOANS
Approximately 9.91% of the Group 1 Initial Mortgage Loans, by Original Group 1
Principal Balance, are loans (each, a "Permanent Buydown Loan") made by the
Depositor to a borrower together with a "Permanent Buydown Companion Loan" for
the purpose of financing a buydown of the interest rate on the Permanent Buydown
Loan. Each Permanent Buydown Companion Loan provides for equal payments of
principal only for a term not to exceed 5 years. Although the Permanent Buydown
Loan and the Permanent Buydown Companion Loan are evidenced by separate notes,
the Depositor treats, and the Servicer will treat, both loans as a single
obligation. The Permanent Buydown Loan and the Permanent Buydown Companion Loan
are given a single loan number and are billed on a single statement. Both notes
are secured by either a first or second lien on the same mortgaged property, and
a default under one note will trigger a default under the other. For each
Permanent Buydown Loan conveyed to the Trust Fund, the corresponding Permanent
Buydown Companion Loan will also be conveyed to the Trust Fund.
Approximately $2,396,776 of Permanent Buydown Companion Loans are associated
with the Group 1 Permanent Buydown Loans.
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
7
<PAGE>
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COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
AVERAGE LIFE SENSITIVITY ANALYSIS:
(assuming 0 bps losses):
Assumes a 5% Clean-Up Call
<TABLE>
<CAPTION>
SCENARIO 1 2 3 4 5
CLASS WAL/WINDOW WAL/WINDOW WAL/WINDOW WAL/WINDOW WAL/WINDOW
<S> <C> <C> <C> <C> <C>
1A 14.35 (1 - 330) 5.75 (1 - 178) 3.43 (1 - 115) 2.48 (1 - 82) 1.95 (1 - 60)
2A 7.69 (1 - 330) 3.98 (1 - 178) 2.75 (1 - 115) 2.10 (1 - 82) 1.53 (1 - 60)
Assumes NO 5% Clean-Up Call (to Maturity)
SCENARIO 1 2 3 4 5
CLASS WAL/WINDOW WAL/WINDOW WAL/WINDOW WAL/WINDOW WAL/WINDOW
<S> <C> <C> <C> <C> <C>
1A 14.43 (1 - 358) 5.94 (1 - 309) 3.55 (1 - 190) 2.54 (1 - 137) 1.99 (1 - 99)
2A 7.70 (1 - 351) 4.06 (1 - 271) 2.83 (1 - 196) 2.19 (1 - 152) 1.59 (1 - 111)
</TABLE>
PREPAYMENT SCENARIOS
SCENARIO 1 2 3 4 5
Class 1A (1) 0% 50% 100% 150% 200%
Class 2A (2) 10% 20% 28% 35% 45%
(1) as a percentage of the Prepayment Assumption
(2) as a conditional prepayment rate (CPR)
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
8
<PAGE>
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COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
CLASS 2A EXCESS SPREAD & AVAILABLE FUNDS CAP RATE ANALYSIS (UNDER PRICING
SCENARIO):
<TABLE>
<CAPTION>
Period Payment Date Available Funds Cap Rate(1) Excess Spread Available(1)
------ ------------ --------------------------- --------------------------
<S> <C> <C> <C>
1 7/25/99 9.85 4.64
2 8/25/99 9.85 4.64
3 9/25/99 9.85 4.64
4 10/25/99 9.85 4.64
5 11/25/99 9.85 4.64
6 12/25/99 9.86 4.66
7 1/25/00 9.86 4.66
8 2/25/00 9.87 4.66
9 3/25/00 9.87 4.67
10 4/25/00 9.87 4.67
11 5/25/00 9.87 4.67
12 6/25/00 9.89 4.69
13 7/25/00 9.89 4.69
14 8/25/00 9.90 4.69
15 9/25/00 9.90 4.70
16 10/25/00 9.90 4.70
17 11/25/00 9.90 4.70
18 12/25/00 9.90 4.70
19 1/25/01 9.90 4.70
20 2/25/01 9.90 4.70
21 3/25/01 10.04 4.84
22 4/25/01 10.04 4.84
23 5/25/01 10.29 5.09
24 6/25/01 10.54 5.34
25 7/25/01 10.70 5.49
26 8/25/01 10.92 5.72
27 9/25/01 11.15 5.95
28 10/25/01 11.15 5.95
29 11/25/01 11.15 5.95
30 12/25/01 11.16 5.95
</TABLE>
- --------------------------------------------------------------------------------
(1) Assumes 1 Month LIBOR = 4.96375%, 6 Month LIBOR = 5.33375%,
Class 2A Net Margin = 0.24%, Expenses = 0.86%.
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
9
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
INITIAL MORTGAGE LOAN CHARACTERISTICS
As of 6/1/99 (the "Cut-off Date")
<TABLE>
<CAPTION>
GROUP 1 (FIXED RATE):
<S> <C> <C>
Current Home Equity Loan Principal Balance (excluding
Permanent Buydown Companion Loan Balance of $2,396,776): $248,568,773
Average Current Home Equity Loan Principal Balance: $57,632 Range: $4,979 - $525,000
Original Home Equity Loan Principal Balance: $249,043,041
Average Original Home Equity Loan Principal Balance: $57,742 Range: $5,000 - $525,000
Properties secured by 1st/2nd Liens: 81.67% / 18.33%
Weighted Average Coupon: 10.744% Range: 6.000% - 15.500%
Weighted Average CLTV: 77.12%
Weighted Average Rem. Term: 249.9 mos.
Weighted Average Original Term: 251.6 mos.
Geographic Distribution: 48 States and D.C.
States w/ >5% Concentrations: NY - 16.03% PA - 7.73% MI - 5.49%
FL - 12.71% OH - 7.43%
Product Type-
Balloons (30's due in 15): 26.02%
Periodic Payment Loans: 16.87%
Deferred Payment Loans: 6.30%
Temporary Buydown Loans: 0.96%
Permanent Buydown Loans: 9.91%
Permanent Buydown Companion Loans: $2,396,776
Occupancy-
Owner Occupied: 90.11%
Non-Owner Occupied: 9.89%
Property Type-
One Family: 73.65%
2-4 Family: 10.18%
Manufactured Home Loans: 9.56%
Multi-Family: 1.71%
Condominium: 1.46%
Mixed Use: 1.03%
PUD: 2.15%
Commercial: 0.26%
Loan Purpose-
Purchase: 21.99%
Refinance: 10.14%
Cashout: 67.87%
</TABLE>
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
10
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
INITIAL MORTGAGE LOAN CHARACTERISTICS (continued)
As of 6/1/98 (the "Cut-off Date")
<TABLE>
<CAPTION>
<S> <C> <C>
Group 2 (Adjustable Rate):
Current Home Equity Loan Principal Balance: $213,783,852
Average Current Home Equity Loan Principal Balance: $90,471 Range: $2,499 - $999,038
Original Home Equity Loan Principal Balance: $213,901,352
Average Original Home Equity Loan Principal Balance: $90,521 Range: $2,500 - $1,000,000
Product Type-
2/28: 97.54%
3/27: 0.03%
6 Month LIBOR: 2.43%
Temporary Buydown Loans: 1.05%
Deferred Payment Loans: 5.42%
Weighted Average Coupon: 10.707% Range: 6.250% - 14.000%
Weighted Average Lifetime Cap: 16.728% Range: 12.250% - 20.000%
Weighted Average Lifetime Floor: 9.752% Range: 5.250% - 13.000%
Weighted Average Gross Margin: 6.683% Range: 3.500% - 10.000%
Weighted Average Months to Roll: 22 Range: 1 - 29
Weighted Average Initial Periodic Cap: 1.986% Range: 1.000% - 3.000%
Weighted Average Periodic Cap: 1.000% Range: all 1.000%
Weighted Average Rem. Term: 357.5 mos.
Weighted Average Original Term: 359.1 mos.
Properties secured by 1st Lien010s: 100%
Weighted Average LTV: 80.04%
Geographic Distribution: 44 states and D.C.
States w/ >5% Concentrations: NY - 13.25% IN - 7.56% CO - 5.20%
OH - 10.85% MI - 6.83%
NJ - 9.01% PA - 6.54%
Occupancy-
Owner Occupied: 93.89%
Non-Owner Occupied: 6.11%
Property Type-
One Family: 74.67%
2-4 Family: 12.46%
Manufactured Home Loans: 8.70%
Condominium: 2.23%
PUD: 1.94%
Loan Purpose-
Purchase: 49.03%
Refinance: 9.81%
Cashout: 41.15%
2/28
Weighted Average Coupon: 10.719% Range: 6.250% - 14.000%
Weighted Average Lifetime Cap: 16.741% Range: 12.250% - 20.000%
Weighted Average Lifetime Floor: 9.741% Range: 5.250% - 13.000%
Weighted Average Gross Margin: 6.683% Range: 3.500% - 10.000%
6 Month LIBOR
Weighted Average Coupon: 10.213% Range: 6.500% - 12.500%
Weighted Average Lifetime Cap: 16.166% Range: 12.500% - 18.500%
Weighted Average Lifetime Floor: 10.166% Range: 6.500% - 12.500%
Weighted Average Gross Margin: 6.688% Range: 4.000% - 8.900%
</TABLE>
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
11
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES INITIAL MORTGAGE LOANS
GROUP 1 (FIXED RATE)
<TABLE>
<CAPTION>
Range of Principal Balances Percent by Number of
as of the Cut-off Date ($) Principal Balance Principal Balance Mortgage Loans
- ---------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C> <C>
0.01 - 10,000.00 $340,098.74 0.14% 37
10,000.01 - 20,000.00 6,867,654.83 2.76 431
20,000.01 - 30,000.00 17,161,452.23 6.90 667
30,000.01 - 40,000.00 24,541,275.11 9.87 693
40,000.01 - 50,000.00 25,533,930.28 10.27 565
50,000.01 - 60,000.00 29,698,090.74 11.95 538
60,000.01 - 70,000.00 21,593,383.46 8.69 332
70,000.01 - 80,000.00 19,248,014.53 7.74 257
80,000.01 - 90,000.00 13,909,729.34 5.60 164
90,000.01 - 100,000.00 12,652,868.84 5.09 132
100,000.01 - 110,000.00 11,372,562.09 4.58 108
110,000.01 - 120,000.00 8,979,151.59 3.61 78
120,000.01 - 130,000.00 7,300,162.94 2.94 58
130,000.01 - 140,000.00 5,789,998.25 2.33 43
140,000.01 - 150,000.00 5,652,125.31 2.27 39
150,000.01 - 160,000.00 4,648,073.15 1.87 30
160,000.01 - 170,000.00 3,317,134.85 1.33 20
170,000.01 - 180,000.00 3,357,703.04 1.35 19
180,000.01 - 190,000.00 3,170,814.31 1.28 17
190,000.01 - 200,000.00 1,176,036.15 0.47 6
200,000.01 - 250,000.00 7,682,663.90 3.09 34
250,000.01 - 300,000.00 6,228,483.01 2.51 23
300,000.01 - 350,000.00 2,891,373.45 1.16 9
350,000.01 - 400,000.00 1,876,128.31 0.75 5
400,000.01 - 450,000.00 2,090,878.79 0.84 5
450,000.01 - 500,000.00 963,985.57 0.39 2
500,000.01 - 550,000.00 525,000.00 0.21 1
--------------- ------ -----
Total $248,568,772.81 100.00% 4,313
================ ======= =====
</TABLE>
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
12
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 1 (FIXED RATE)
<TABLE>
<CAPTION>
Percent by Number of
Geographic Distribution Principal Balance Principal Balance Mortgage Loans
- ------------------------ ----------------- ----------------- --------------
<S> <C> <C> <C>
Alabama $1,409,191.60 0.57% 34
Arizona 1,644,344.98 0.66 38
Arkansas 362,833.19 0.15 9
California 7,183,799.79 2.89 117
Colorado 6,112,120.50 2.46 115
Connecticut 5,851,515.91 2.35 96
Delaware 1,118,749.69 0.45 18
District Of Columbia 498,272.85 0.20 7
Florida 31,581,642.57 12.71 713
Georgia 4,250,408.28 1.71 83
Idaho 267,726.57 0.11 6
Illinois 10,018,605.10 4.03 169
Indiana 9,194,886.20 3.70 187
Iowa 206,592.05 0.08 6
Kansas 221,281.63 0.09 8
Kentucky 571,726.12 0.23 14
Louisiana 249,462.90 0.10 5
Maine 308,605.91 0.12 5
Maryland 5,514,184.73 2.22 99
Massachusetts 6,149,168.86 2.47 78
Michigan 13,647,401.33 5.49 240
Minnesota 1,672,035.85 0.67 33
Mississippi 412,594.40 0.17 6
Missouri 1,877,807.37 0.76 36
Montana 96,300.00 0.04 1
Nebraska 37,273.06 0.01 2
Nevada 308,140.17 0.12 5
New Hampshire 966,129.94 0.39 13
New Jersey 11,882,499.68 4.78 147
New Mexico 1,180,581.09 0.47 17
New York 39,853,656.75 16.03 455
North Carolina 7,630,097.50 3.07 150
North Dakota 211,691.73 0.09 3
Ohio 18,475,981.06 7.43 333
Oklahoma 729,675.47 0.29 16
Oregon 3,216,245.57 1.29 45
Pennsylvania 19,221,705.71 7.73 382
Rhode Island 1,660,794.10 0.67 24
South Carolina 9,233,098.77 3.71 183
South Dakota 406,186.46 0.16 7
Tennessee 3,569,996.54 1.44 55
Texas 3,469,903.76 1.40 55
Utah 3,273,821.55 1.32 69
Vermont 106,459.79 0.04 2
Virginia 5,113,011.42 2.06 92
Washington 4,593,091.62 1.85 88
West Virginia 727,895.67 0.29 12
Wisconsin 2,225,864.89 0.90 32
Wyoming 53,712.13 0.02 3
--------------- ------ -----
Total $248,568,772.81 100.00% 4,313
=============== ====== =====
</TABLE>
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
13
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 1 (FIXED RATE)
<TABLE>
<CAPTION>
Number of
Percent by Mortgage
Original Combined Loan-to-Value Principal Balance Principal Balance Loans
- ------------------------------- ----------------- ----------------- ----------
<S> <C> <C> <C>
5.01 - 10.00 $45,823.81 0.02% 3
10.01 - 15.00 88,699.14 0.04 4
15.01 - 20.00 316,143.84 0.13 10
20.01 - 25.00 348,739.93 0.14 12
25.01 - 30.00 598,024.56 0.24 15
30.01 - 35.00 1,295,172.86 0.52 33
35.01 - 40.00 1,468,375.43 0.59 34
40.01 - 45.00 2,373,595.51 0.95 50
45.01 - 50.00 3,688,411.52 1.48 71
50.01 - 55.00 4,845,405.83 1.95 90
55.01 - 60.00 6,414,989.57 2.58 120
60.01 - 65.00 14,621,316.46 5.88 263
65.01 - 70.00 19,775,401.88 7.96 316
70.01 - 75.00 28,485,681.23 11.46 507
75.01 - 80.00 61,049,078.14 24.56 1,046
80.01 - 85.00 59,132,765.89 23.79 1,014
85.01 - 90.00 44,021,147.21 17.71 725
--------------- ------ -----
Total $248,568,772.81 100.00% 4,313
=============== ====== =====
</TABLE>
At origination no Group 1 Mortgage Loan had a Combined Loan-to-Value ("CLTV")
exceeding 90.00%.
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
14
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 1 (FIXED RATE)
<TABLE>
<CAPTION>
Percent by Number of
Mortgage Rates (%) Principal Balance Principal Balance Mortgage Loans
- ------------------ ----------------- ----------------- --------------
<S> <C> <C> <C>
6.000 - 6.249 $93,000.00 0.04% 1
7.000 - 7.249 57,000.00 0.02 1
7.250 - 7.499 12,357,905.78 4.97 161
7.500 - 7.749 1,578,366.64 0.63 19
7.750 - 7.999 5,526,088.95 2.22 73
8.000 - 8.249 4,181,437.53 1.68 55
8.250 - 8.499 5,010,778.55 2.02 75
8.500 - 8.749 5,114,419.51 2.06 76
8.750 - 8.999 8,393,786.16 3.38 111
9.000 - 9.249 6,586,766.29 2.65 99
9.250 - 9.499 6,555,743.57 2.64 109
9.500 - 9.749 11,564,653.06 4.65 172
9.750 - 9.999 14,896,126.20 5.99 225
10.000 - 10.249 8,962,233.63 3.61 171
10.250 - 10.499 12,079,498.37 4.86 226
10.500 - 10.749 15,561,259.72 6.26 263
10.750 - 10.999 15,578,326.59 6.27 286
11.000 - 11.249 11,354,902.04 4.57 214
11.250 - 11.499 12,279,221.42 4.94 247
11.500 - 11.749 13,954,928.57 5.61 270
11.750 - 11.999 16,085,378.35 6.47 267
12.000 - 12.249 9,520,835.04 3.83 190
12.250 - 12.499 8,108,430.73 3.26 163
12.500 - 12.749 10,291,409.25 4.14 174
12.750 - 12.999 9,002,555.61 3.62 190
13.000 - 13.249 5,161,475.15 2.08 98
13.250 - 13.499 6,639,617.40 2.67 120
13.500 - 13.749 5,047,791.31 2.03 113
13.750 - 13.999 2,683,507.85 1.08 55
14.000 - 14.249 1,393,924.67 0.56 29
14.250 - 14.499 1,343,141.10 0.54 30
14.500 - 14.749 493,319.72 0.20 13
14.750 - 14.999 400,787.98 0.16 8
15.000 - 15.249 86,625.00 0.03 3
15.250 - 15.499 467,646.35 0.19 4
15.500 - 15.749 155,884.72 0.06 2
--------------- ------ -----
Total $248,568,772.81 100.00% 4,313
=============== ====== =====
</TABLE>
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
15
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 1 (FIXED RATE)
Number of
Remaining Principal Percent by Mortgage
Months to Maturity Balance Principal Balance Loans
- ------------------ --------------- ----------------- -----------
48.01 - 60.00 $727,405.88 0.29% 24
60.01 - 72.00 147,700.00 0.06 4
72.01 - 84.00 519,071.78 0.21 12
84.01 - 96.00 545,003.83 0.22 12
96.01 - 108.00 580,182.00 0.23 9
108.01 - 120.00 8,074,808.41 3.25 230
120.01 - 132.00 490,125.57 0.20 8
132.01 - 144.00 826,403.72 0.33 15
144.01 - 156.00 378,891.23 0.15 7
156.01 - 168.00 744,485.05 0.30 11
168.01 - 180.00 103,824,701.74 41.77 1,913
180.01 - 192.00 269,364.25 0.11 3
192.01 - 204.00 918,348.10 0.37 15
204.01 - 216.00 476,464.53 0.19 9
216.01 - 228.00 1,028,961.69 0.41 14
228.01 - 240.00 31,128,559.16 12.52 612
240.01 - 252.00 1,211,146.38 0.49 16
252.01 - 264.00 681,565.53 0.27 8
264.01 - 276.00 460,345.61 0.19 6
276.01 - 288.00 1,012,459.95 0.41 11
288.01 - 300.00 10,292,286.01 4.14 173
300.01 - 312.00 317,681.42 0.13 5
312.01 - 324.00 375,627.38 0.15 5
324.01 - 336.00 591,861.83 0.24 6
336.01 - 348.00 367,181.00 0.15 4
348.01 - 360.00 82,437,754.75 33.16 1,178
360.01 - 361.00 140,386.01 0.06 3
--------------- ------ -----
Total $248,568,772.81 100.00% 4,313
=============== ====== =====
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
16
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 1 (FIXED RATE)
Percent by Number of
Principal Mortgage
Underwriting Class Principal Balance Balance Loans
- ------------------ ----------------- ---------- ---------
AAA $8,469,208.60 3.41% 126
AA 41,007,624.30 16.50 635
ANIV 31,304,410.46 12.59 490
I 63,837,458.50 25.68 1,070
II 30,482,476.60 12.26 578
III 12,216,802.19 4.91 182
III-SE 7,258,943.94 2.92 125
IIB 21,151,040.64 8.51 434
IV 27,428,812.06 11.03 574
IVPI 1,129,371.27 0.45 19
V 4,282,624.25 1.72 80
--------------- ------ -----
Total $248,568,772.81 100.00% 4,313
=============== ======= =====
GROUP 1 (FIXED RATE)
Principal Percent by Number of
Property Types Balance Principal Mortgage Loans
- -------------- --------------- ---------- --------------
SINGLE FAMILY $183,058,799.87 73.65% 3,229
2-4 FAMILY 25,305,454.68 10.18 349
MANUFACTURED 23,769,691.66 9.56 518
PUD 5,353,740.17 2.15 91
MULTI-FAMILY 4,247,855.58 1.71 25
CONDO 3,635,222.33 1.46 85
MIXED USE 2,554,519.10 1.03 13
COMMERCIAL 643,489.42 0.26 3
--------------- ------ -----
Total $248,568,772.81 100.00% 4,313
=============== ======= =====
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
17
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
<TABLE>
<CAPTION>
Range of Principal Balances Percent by Number of
As of the Cut-off Date ($) Principal Balance Principal Balance Mortgage Loans
- ---------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
0.01 - 10,000.00 $2,499.36 0.00% 1
10,000.01 - 20,000.00 257,018.89 0.12 15
20,000.01 - 30,000.00 2,471,220.05 1.16 92
30,000.01 - 40,000.00 6,061,507.51 2.84 170
40,000.01 - 50,000.00 10,967,457.01 5.13 239
50,000.01 - 60,000.00 18,719,304.22 8.76 337
60,000.01 - 70,000.00 18,066,791.71 8.45 278
70,000.01 - 80,000.00 19,203,115.63 8.98 257
80,000.01 - 90,000.00 14,780,945.74 6.91 174
90,000.01 - 100,000.00 12,839,006.67 6.01 135
100,000.01 - 110,000.00 11,757,471.19 5.50 112
110,000.01 - 120,000.00 11,387,596.65 5.33 99
120,000.01 - 130,000.00 7,588,307.13 3.55 61
130,000.01 - 140,000.00 7,571,926.03 3.54 56
140,000.01 - 150,000.00 7,571,165.68 3.54 52
150,000.01 - 160,000.00 6,487,838.65 3.03 42
160,000.01 - 170,000.00 5,940,637.97 2.78 36
170,000.01 - 180,000.00 5,629,469.39 2.63 32
180,000.01 - 190,000.00 4,262,412.66 1.99 23
190,000.01 - 200,000.00 4,509,710.99 2.11 23
200,000.01 - 250,000.00 14,562,425.09 6.81 66
250,000.01 - 300,000.00 6,942,326.88 3.25 25
300,000.01 - 350,000.00 5,504,233.61 2.57 17
350,000.01 - 400,000.00 1,886,611.97 0.88 5
400,000.01 - 450,000.00 1,273,281.61 0.60 3
450,000.01 - 500,000.00 2,822,196.97 1.32 6
500,000.01 - 550,000.00 529,844.09 0.25 1
550,000.01 - 600,000.00 1,745,106.40 0.82 3
650,000.01 - 700,000.00 689,669.45 0.32 1
750,000.01 - 800,000.00 753,715.13 0.35 1
950,000.01 - 1,000,000.00 999,038.04 0.47 1
--------------- ------ -----
Total $213,783,852.37 100.00% 2,363
=============== ====== =====
</TABLE>
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
18
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Number of
Percent by Mortgage
Geographic Distribution Principal Balance Principal Balance Loans
- ----------------------- ----------------- ----------------- ----------
Alabama $379,544.59 0.18% 3
Arizona 2,476,526.84 1.16 27
Arkansas 235,739.75 0.11 2
California 2,625,837.38 1.23 14
Colorado 11,120,765.04 5.20 84
Connecticut 6,959,264.30 3.26 55
Delaware 794,215.33 0.37 7
District Of Columbia 149,745.85 0.07 2
Florida 9,036,032.19 4.23 122
Georgia 3,782,398.52 1.77 48
Idaho 253,765.02 0.12 4
Illinois 8,258,819.39 3.86 92
Indiana 16,161,231.67 7.56 274
Iowa 353,945.06 0.17 8
Kentucky 356,664.58 0.17 5
Louisiana 197,178.50 0.09 2
Maine 124,100.00 0.06 1
Maryland 4,690,382.14 2.19 47
Massachusetts 3,467,665.28 1.62 29
Michigan 14,591,950.50 6.83 171
Minnesota 925,442.62 0.43 10
Missouri 777,070.20 0.36 12
Montana 26,600.00 0.01 1
Nebraska 30,381.53 0.01 1
New Hampshire 243,740.81 0.11 2
New Jersey 19,267,334.20 9.01 151
New Mexico 543,752.86 0.25 6
New York 28,335,861.56 13.25 182
North Carolina 8,944,115.56 4.18 119
Ohio 23,185,242.57 10.85 342
Oklahoma 142,233.57 0.07 4
Oregon 821,196.94 0.38 8
Pennsylvania 13,983,969.81 6.54 186
Rhode Island 1,297,160.07 0.61 14
South Carolina 8,578,609.13 4.01 125
South Dakota 37,031.04 0.02 1
Tennessee 1,215,864.36 0.57 16
Texas 4,042,727.62 1.89 50
Utah 6,716,244.44 3.14 49
Vermont 311,883.99 0.15 2
Virginia 2,726,889.57 1.28 27
Washington 3,520,774.10 1.65 26
West Virginia 599,225.00 0.28 8
Wisconsin 1,444,747.71 0.68 23
Wyoming 49,981.18 0.02 1
--------------- ------ -----
Total $213,783,852.37 100.00% 2,363
=============== ====== =====
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
19
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
<TABLE>
<CAPTION>
Percent by Number of
Original Loan-to-Value (%) Principal Balance Principal Balance Mortgage Loans
- -------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
10.01 - 15.00 $2,499.36 0.00% 1
20.01 - 25.00 131,932.30 0.06 3
25.01 - 30.00 93,968.97 0.04 2
30.01 - 35.00 464,483.48 0.22 4
35.01 - 40.00 66,973.39 0.03 3
40.01 - 45.00 510,338.88 0.24 6
45.01 - 50.00 1,651,967.27 0.77 21
50.01 - 55.00 2,185,204.42 1.02 25
55.01 - 60.00 1,955,211.67 0.91 24
60.01 - 65.00 10,768,747.48 5.04 111
65.01 - 70.00 10,053,620.96 4.70 119
70.01 - 75.00 20,006,924.30 9.36 226
75.01 - 80.00 67,667,716.79 31.65 793
80.01 - 85.00 54,657,450.41 25.57 627
85.01 - 90.00 43,566,812.69 20.38 398
--------------- ------ -----
Total $213,783,852.37 100.00% 2,363
=============== ====== =====
</TABLE>
At origination no Group 2 Mortgage Loan had a Loan-to-Value ("LTV") exceeding
90.00%.
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
20
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Percent by Number of
Mortgage Rates (%) Principal Balance Principal Balance Mortgage Loans
- ------------------ ----------------- ----------------- --------------
6.250 - 6.499 $34,434.37 0.02% 1
6.500 - 6.749 28,101.35 0.01 1
7.000 - 7.249 129,500.00 0.06 1
7.250 - 7.499 429,790.78 0.20 3
7.500 - 7.749 659,486.28 0.31 6
7.750 - 7.999 754,720.17 0.35 8
8.000 - 8.249 2,024,915.22 0.95 21
8.250 - 8.499 2,965,393.72 1.39 29
8.500 - 8.749 1,985,830.32 0.93 23
8.750 - 8.999 8,053,455.00 3.77 92
9.000 - 9.249 5,993,849.42 2.80 55
9.250 - 9.499 8,671,114.10 4.06 88
9.500 - 9.749 16,904,807.97 7.91 163
9.750 - 9.999 15,045,626.10 7.04 139
10.000 - 10.249 14,579,785.61 6.82 157
10.250 - 10.499 13,648,968.69 6.38 161
10.500 - 10.749 12,639,225.78 5.91 138
10.750 - 10.999 23,106,991.64 10.81 264
11.000 - 11.249 11,019,773.86 5.15 118
11.250 - 11.499 12,460,622.15 5.83 139
11.500 - 11.749 15,060,799.42 7.04 183
11.750 - 11.999 12,504,079.44 5.85 143
12.000 - 12.249 5,943,659.54 2.78 70
12.250 - 12.499 10,573,927.34 4.95 136
12.500 - 12.749 5,857,272.79 2.74 62
12.750 - 12.999 3,876,404.18 1.81 43
13.000 - 13.249 3,793,375.33 1.77 48
13.250 - 13.499 3,103,286.12 1.45 38
13.500 - 13.749 1,179,137.45 0.55 19
13.750 - 13.999 667,550.47 0.31 12
14.000 - 14.249 87,967.76 0.04 2
--------------- ------ -----
Total $213,783,852.37 100.00% 2,363
=============== ====== =====
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
21
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
<TABLE>
<CAPTION>
Percent by Number of
Remaining Months to Maturity Principal Balance Principal Balance Mortgage Loans
- ---------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
119.00 - 120.99 $39,500.00 0.02% 2
169.00 - 180.99 141,553.77 0.07 4
229.00 - 240.99 668,446.31 0.31 14
289.00 - 300.99 1,209,978.13 0.57 29
337.00 - 348.99 260,072.74 0.12 3
349.00 - 357.99 33,031,771.54 15.45 300
358.00 - 358.99 71,178,320.36 33.29 797
359.00 - 359.99 66,772,820.42 31.23 767
360.00 - 361.00 40,481,389.10 18.94 447
--------------- ------ -----
Total $213,783,852.37 100.00% 2,363
=============== ======= =====
</TABLE>
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
22
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
<TABLE>
<CAPTION>
Month of Next Rate Adjustment Percent by Number of
for Six-Month LIBOR Loans Principal Balance Principal Balance Mortgage Loans
- ----------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
July 1999 $110,692.29 0.05% 1
August 1999 170,154.50 0.08 1
September 1999 107,649.25 0.05 2
October 1999 2,177,720.93 1.02 19
November 1999 1,707,297.52 0.80 16
December 1999 917,645.79 0.43 12
January 2000 0.00 0.00 0
February 2000 0.00 0.00 0
March 2000 0.00 0.00 0
April 2000 94,273.15 0.04 1
May 2000 165,799.59 0.08 2
June 2000 0.00 0.00 0
July 2000 49,266.61 0.02 1
August 2000 207,005.97 0.10 2
September 2000 64,587.56 0.03 1
October 2000 731,577.85 0.34 3
November 2000 748,890.08 0.35 6
December 2000 2,739,021.88 1.28 30
January 2001 3,650,708.63 1.71 31
February 2001 5,897,903.76 2.76 59
March 2001 18,650,586.72 8.72 167
April 2001 69,158,580.58 32.35 782
May 2001 66,122,911.89 30.93 773
June 2001 40,239,477.67 18.82 453
July 2001 0.00 0.00 0
August 2001 0.00 0.00 0
September 2001 0.00 0.00 0
October 2001 0.00 0.00 0
November 2001 72,100.15 0.03 1
--------------- ------ -----
Total $213,783,852.37 100.00% 2,363
=============== ====== =====
</TABLE>
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
23
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
<TABLE>
<CAPTION>
Gross Margin Percent by Number of
for Six-Month LIBOR Loans Principal Balance Principal Balance Mortgage Loans
- ------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
3.500 - 3.749 $35,500.00 0.02% 1
3.750 - 3.999 456,224.26 0.21 3
4.000 - 4.249 1,202,704.11 0.56 15
4.250 - 4.499 1,107,259.58 0.52 14
4.500 - 4.749 2,039,193.97 0.95 25
4.750 - 4.999 2,373,798.56 1.11 25
5.000 - 5.249 9,645,140.85 4.51 99
5.250 - 5.499 5,743,530.61 2.69 63
5.500 - 5.749 12,731,144.01 5.96 130
5.750 - 5.999 15,809,812.47 7.40 187
6.000 - 6.249 14,087,816.89 6.59 124
6.250 - 6.499 30,468,549.44 14.25 340
6.500 - 6.749 14,224,462.44 6.65 155
6.750 - 6.999 17,150,486.56 8.02 195
7.000 - 7.249 20,549,190.96 9.61 241
7.250 - 7.499 14,844,368.49 6.94 147
7.500 - 7.749 11,019,990.19 5.15 123
7.750 - 7.999 6,944,398.84 3.25 73
8.000 - 8.249 17,522,021.00 8.20 211
8.250 - 8.499 4,951,463.28 2.32 56
8.500 - 8.749 2,266,366.39 1.06 29
8.750 - 8.999 4,747,304.76 2.22 50
9.000 - 9.249 1,869,970.59 0.87 26
9.250 - 9.499 1,792,183.49 0.84 27
9.500 - 9.749 87,967.76 0.04 2
9.750 - 9.999 65,600.00 0.03 1
10.000 - 10.249 47,402.87 0.02 1
--------------- ------ -----
Total $213,783,852.37 100.00% 2,363
=============== ====== =====
</TABLE>
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
24
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
<TABLE>
<CAPTION>
Maximum Mortgage Rates Percent by Number of
for Six-Month LIBOR Loans Principal Balance Principal Balance Mortgage Loans
- ------------------------- ----------------- ----------------- ---------------
<S> <C> <C> <C>
12.250 - 12.499 $34,434.37 0.02% 1
12.500 - 12.749 28,101.35 0.01 1
13.000 - 13.249 129,500.00 0.06 1
13.250 - 13.499 271,890.78 0.13 2
13.500 - 13.749 532,920.73 0.25 4
13.750 - 13.999 438,238.12 0.20 6
14.000 - 14.249 1,763,474.30 0.82 16
14.250 - 14.499 2,965,393.72 1.39 29
14.500 - 14.749 1,985,830.32 0.93 23
14.750 - 14.999 7,877,964.21 3.69 89
15.000 - 15.249 5,949,405.46 2.78 55
15.250 - 15.499 8,771,443.19 4.10 88
15.500 - 15.749 16,824,375.58 7.87 162
15.750 - 15.999 15,251,415.86 7.13 140
16.000 - 16.249 14,675,782.08 6.86 160
16.250 - 16.499 13,197,140.61 6.17 155
16.500 - 16.749 12,639,225.78 5.91 138
16.750 - 16.999 23,393,174.72 10.94 268
17.000 - 17.249 11,199,675.54 5.24 119
17.250 - 17.499 12,446,092.91 5.82 139
17.500 - 17.749 15,157,032.77 7.09 185
17.750 - 17.999 12,504,079.44 5.85 143
18.000 - 18.249 5,909,296.27 2.76 70
18.250 - 18.499 11,097,855.57 5.19 143
18.500 - 18.749 5,857,272.79 2.74 62
18.750 - 18.999 3,876,404.18 1.81 43
19.000 - 19.249 3,793,375.33 1.77 48
19.250 - 19.499 3,103,286.12 1.45 38
19.500 - 19.749 1,289,902.04 0.60 20
19.750 - 19.999 667,550.47 0.31 12
20.000 - 20.249 152,317.76 0.07 3
--------------- ------ -----
$213,783,852.37 100.00% 2,363
=============== ====== =====
</TABLE>
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
25
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
<TABLE>
<CAPTION>
Minimum Mortgage Rates Percent by Number of
for Six-Month LIBOR Loans Principal Balance Principal Balance Mortgage Loans
- ------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
5.250 - 5.499 $34,434.37 0.02% 1
6.000 - 6.249 129,500.00 0.06 1
6.250 - 6.499 132,000.00 0.06 1
6.500 - 6.749 561,022.08 0.26 5
6.750 - 6.999 438,238.12 0.20 6
7.000 - 7.249 1,470,306.77 0.69 13
7.250 - 7.499 3,105,284.50 1.45 30
7.500 - 7.749 1,985,830.32 0.93 23
7.750 - 7.999 7,627,433.60 3.57 87
8.000 - 8.249 5,507,513.58 2.58 51
8.250 - 8.499 8,510,021.46 3.98 86
8.500 - 8.749 16,774,899.29 7.85 161
8.750 - 8.999 15,105,601.47 7.07 138
9.000 - 9.249 15,239,635.73 7.13 165
9.250 - 9.499 13,147,155.56 6.15 154
9.500 - 9.749 11,767,725.10 5.50 132
9.750 - 9.999 23,789,519.72 11.13 272
10.000 - 10.249 11,226,481.30 5.25 119
10.250 - 10.499 12,491,642.85 5.84 139
10.500 - 10.749 15,307,904.02 7.16 184
10.750 - 10.999 12,300,079.44 5.75 141
11.000 - 11.249 5,994,600.48 2.80 71
11.250 - 11.499 11,363,712.41 5.32 146
11.500 - 11.749 6,437,258.79 3.01 68
11.750 - 11.999 4,080,404.18 1.91 45
12.000 - 12.249 3,852,471.12 1.80 49
12.250 - 12.499 3,103,286.12 1.45 38
12.500 - 12.749 1,480,021.76 0.69 22
12.750 - 12.999 667,550.47 0.31 12
13.000 - 13.249 152,317.76 0.07 3
--------------- ------ -----
Total $213,783,852.37 100.00% 2,363
=============== ====== =====
</TABLE>
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
26
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Percent by Number of
Underwriting Class Principal Balance Principal Balance Mortgage Loans
- ------------------ ----------------- ----------------- --------------
AA 13,487,822.32 6.31 139
ANIV 24,324,703.21 11.38 207
I 54,492,143.99 25.49 544
II 31,796,159.67 14.87 402
III 12,140,948.26 5.68 116
III-SE 10,267,427.37 4.80 74
IIB 27,005,715.15 12.63 363
IV 31,486,847.35 14.73 417
IVPI 618,409.31 0.29 8
V 8,163,675.74 3.82 93
-------------- ------ -----
Total 213,783,852.37 100.00 2,363
============== ====== =====
GROUP 2 (ADJUSTABLE RATE)
Percent by Number of
Property Type Principal Balance Principal Balance Mortgage Loans
- ------------- ----------------- ----------------- --------------
SINGLE FAMILY $159,634,495.45 74.67% 1,752
2-4 FAMILY 26,627,671.58 12.46 255
MANUFACTURED 18,604,532.70 8.70 269
CONDO 4,773,665.92 2.23 56
PUD 4,143,486.72 1.94 31
--------------- ------ -----
Total $213,783,852.37 100.00% 2,363
=============== ======= =====
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
27
<PAGE>
[MERRILL LYNCH LOGO]
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 1999-2
- --------------------------------------------------------------------------------
FOR ADDITIONAL INFORMATION PLEASE CALL:
ASSET BACKED SECURITIES GROUP
- -----------------------------
Rob DiOrio (212) 449-1646
Marc Rosenthal (212) 449-8721
Julie Presnell (212) 449-4435
Demetrios Tsipras (212) 449-9486
Rachel Lu (212) 449-5494
MBS TRADING
- -----------
(New York)
Vince Mora (212) 449-5320
Dan Pace (212) 449-5320
Scott Soltas (212) 449-3659
(London)
Ashley Kibblewhite 011-44-171-867-3032
Anthony Everill 011-44-171-867-3032
ASSET BACKED RESEARCH
- ---------------------
Chris Flanagan (212) 449-1655
Ralph Diserio (212) 449-1629
Ryan Asato (212) 449-9622
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
28
