--------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
Merrill Lynch Global
Mortgage & Real Estate Capital
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 The information herein is preliminary, and will be superseded by the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 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 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) 449-5320.
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.
<PAGE>
RES00 2000-S15
15yr Fixed Rate Collateral
Collateral Type: 15yr Fixed Rate
Pass-Through Coupon: 7.00%
AAA Principal Balance: $150,000,000 +/- 5%
Average Loan Balance: $380,000 Approx.
Approx. Gross WAC: 7.98% +/- 10bps
WAM: 177 +/- 2 max. 180
WA LTV: 68% +/-2%
Full Doc 85% Approx
Cash-Out Refi.: 10% Approx.
Single Family (detached) 95% Approx.
Geographic: 35% max California
Rating/Subordination: AAA/ 2.0% +/- 2%
Settlement: November 29, 2000
Whole Loan Desk AAA - Dan Lonski - 449-5326
Andy O'Fee
Kerry Grogan
The information herein has been provided solely by Merrill Lynch, Pierce, Fenner
& Smith Incorporated ("Merrill Lynch"). Neither Merrill Lynch, the Issuer of the
securities nor any of its affiliates make 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 contained herein will be superseded by the description of the
collateral pool contained in the prospectus supplement relating to the
securities.
--------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
November 13, 2000 09:34AM PRICE/YIELD TO MATURITY Table for ZRES00S15_2 Class A Merrill Lynch & Company
Settlement: November 29, 2000 Current Balance: $75,000,000.00 Current Coupon: 7% HyperStruct
Last Payment: None Next Payment: December 25, 2000
-----------------------------------------------------------------------------------------------------------------------
No default scenario exists
-----------------------------------------------------------------------------------------------------------------------
Scenario Assumption
------------ ------------ ------------ ------------ ------------ ------------ ------------
113 PSA 126 PSA 160 PSA 248 PSA 485 PSA 1074 PSA 1226 PSA
------------ ------------ ------------ ------------ ------------ ------------ ------------
Price Yield Dur Yield Dur Yield Dur Yield Dur Yield Dur Yield Dur Yield Dur
------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
98-02 7.412 4.76 7.420 4.64 7.440 4.36 7.494 3.76 7.644 2.72 7.994 1.65 8.075 1.52
98-04 7.399 7.406 7.426 7.478 7.621 7.956 8.033
98-06 7.386 7.393 7.411 7.461 7.597 7.917 7.991
98-08 7.373 7.379 7.397 7.444 7.574 7.879 7.949
98-10 7.359 4.77 7.366 4.65 7.382 4.37 7.427 3.77 7.551 2.73 7.841 1.66 7.908 1.52
98-12 7.346 7.352 7.368 7.410 7.528 7.803 7.866
98-14 7.333 7.338 7.354 7.394 7.505 7.765 7.825
98-16 7.320 7.325 7.339 7.377 7.481 7.727 7.783
98-18 7.306 4.78 7.311 4.66 7.325 4.38 7.360 3.78 7.458 2.73 7.689 1.66 7.742 1.52
98-20 7.293 7.298 7.310 7.343 7.435 7.651 7.700
98-22 7.280 7.284 7.296 7.327 7.412 7.613 7.659
98-24 7.267 7.271 7.282 7.310 7.389 7.575 7.617
98-26 7.254 4.78 7.257 4.67 7.267 4.39 7.293 3.78 7.366 2.74 7.537 1.66 7.576 1.52
98-28 7.240 7.244 7.253 7.277 7.343 7.499 7.535
98-30 7.227 7.230 7.239 7.260 7.320 7.461 7.494
99-00 7.214 7.217 7.224 7.244 7.297 7.423 7.452
99-02 7.201 4.79 7.204 4.68 7.210 4.39 7.227 3.79 7.274 2.74 7.386 1.66 7.411 1.53
99-04 7.188 7.190 7.196 7.211 7.252 7.348 7.370
99-06 7.175 7.177 7.181 7.194 7.229 7.310 7.329
99-08 7.162 7.163 7.167 7.177 7.206 7.273 7.288
99-10 7.149 4.80 7.150 4.68 7.153 4.40 7.161 3.80 7.183 2.75 7.235 1.67 7.247 1.53
99-12 7.136 7.137 7.139 7.145 7.160 7.198 7.206
99-14 7.123 7.123 7.125 7.128 7.138 7.160 7.165
99-16 7.110 7.110 7.110 7.112 7.115 7.123 7.125
99-18 7.097 4.81 7.097 4.69 7.096 4.41 7.095 3.80 7.092 2.75 7.085 1.67 7.084 1.53
99-20 7.084 7.083 7.082 7.079 7.070 7.048 7.043
99-22 7.071 7.070 7.068 7.062 7.047 7.011 7.002
WAL 6.642 6.444 5.969 4.970 3.347 1.873 1.702
1st Prin 12/25/00 12/25/00 12/25/00 12/25/00 12/25/00 12/25/00 12/25/00
Mat. 08/25/15 08/25/15 08/25/15 08/25/15 08/25/15 12/25/05 03/25/05
----------------------------------------------------------------------------------------------------------------------
Recipient must read the information in the attached underwriter's statement regarding computational materials
and other information (the 'Statement'). If the statement is not attached, please contact your account
representative. Do not use or rely on this information if you have not received and reviewed the Statement.
----------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
SUPPLEMENT TO COMPUTATIONAL MATERIALS
----------------------------------------------------------------------------------------------------
Pass-Through Rate: 7.000%
Weighted Average Gross Coupon: 7.980%
Collateral Balance: 153,061,225.00
Original Term: 179
Remaining Term: 177
Dated Date: November 01, 2000
Settlement Date: November 29, 2000
First Distribution Date: December 25, 2000
====================================================================================================
Class Type Size Coupon Prin Period WAL
====================================================================================================
<S> <C> <C> <C> <C> <C>
A PT 75,000,000 7.00% 12/00-08/15 5.20
----------------------------------------------------------------------------------------------------
A1 SEQ 43,200,000 7.00% 12/00-09/06 2.90
----------------------------------------------------------------------------------------------------
A2 SEQ 8,870,000 7.00% 10/08-08/15 10.58
----------------------------------------------------------------------------------------------------
A3 NAS 15,000,000 7.00% 12/00-08/15 7.83
----------------------------------------------------------------------------------------------------
A4 SEQ 7,930,000 7.00% 09/06-10/08 6.77
----------------------------------------------------------------------------------------------------
B-1 SUB 3,061,225 7.00% 12/00-08/15 7.83
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------
Recipient must read the information in the attached underwriter's statement regarding computational materials
and other information (the 'Statement'). If the statement is not attached, please contact your account
representative. Do not use or rely on this information if you have not received and reviewed the Statement.
----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
October 27, 2000 11:39AM PRICE/YIELD TO MATURITY Table for ZRES00S15 Class A1 Merrill Lynch & Company
Settlement: November 29, 2000 Current Balance: $102,260,000.00 Current Coupon: 7% HyperStruct
Last Payment: None Next Payment: December 25, 2000
---------------------------------------------------------------------------------------------------------------------------
No default scenario exists
---------------------------------------------------------------------------------------------------------------------------
Scenario Assumption
------------ ------------ ------------ ------------ ------------ ------------ ------------
100 PSA 150 PSA 200 PSA 225 PSA 250 PSA 300 PSA 500 PSA
------------ ------------ ------------ ------------ ------------ ------------ ------------
Price Yield Dur Yield Dur Yield Dur Yield Dur Yield Dur Yield Dur Yield Dur
------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
98-15 7.366 4.05 7.407 3.50 7.451 3.07 7.472 2.89 7.493 2.73 7.534 2.47 7.674 1.87
98-17 7.351 7.389 7.430 7.450 7.470 7.509 7.640
98-19 7.335 7.371 7.410 7.428 7.447 7.483 7.607
98-21 7.319 7.353 7.389 7.407 7.424 7.458 7.573
98-23 7.304 4.06 7.335 3.50 7.368 3.07 7.385 2.89 7.401 2.73 7.432 2.48 7.539 1.87
98-25 7.288 7.318 7.348 7.363 7.378 7.407 7.506
98-27 7.273 7.300 7.327 7.341 7.355 7.381 7.472
98-29 7.257 7.282 7.307 7.320 7.332 7.356 7.438
98-31 7.242 4.06 7.264 3.51 7.287 3.07 7.298 2.89 7.309 2.74 7.331 2.48 7.405 1.87
99-01 7.226 7.246 7.266 7.276 7.286 7.305 7.371
99-03 7.211 7.228 7.246 7.255 7.263 7.280 7.338
99-05 7.196 7.210 7.225 7.233 7.240 7.255 7.304
99-07 7.180 4.07 7.192 3.52 7.205 3.08 7.211 2.90 7.218 2.74 7.230 2.48 7.271 1.87
99-09 7.165 7.174 7.185 7.190 7.195 7.204 7.237
99-11 7.149 7.157 7.164 7.168 7.172 7.179 7.204
99-13 7.134 7.139 7.144 7.147 7.149 7.154 7.171
99-15 7.119 4.07 7.121 3.52 7.124 3.08 7.125 2.90 7.126 2.75 7.129 2.49 7.137 1.88
99-17 7.103 7.103 7.103 7.104 7.104 7.104 7.104
99-19 7.088 7.086 7.083 7.082 7.081 7.079 7.071
99-21 7.073 7.068 7.063 7.061 7.058 7.053 7.037
99-23 7.057 4.08 7.050 3.53 7.043 3.09 7.039 2.91 7.035 2.75 7.028 2.49 7.004 1.88
99-25 7.042 7.033 7.023 7.018 7.013 7.003 6.971
99-27 7.027 7.015 7.002 6.996 6.990 6.978 6.938
99-29 7.012 6.997 6.982 6.975 6.968 6.953 6.905
99-31 6.996 4.09 6.980 3.53 6.962 3.09 6.954 2.91 6.945 2.75 6.928 2.49 6.872 1.88
100-01 6.981 6.962 6.942 6.932 6.922 6.904 6.839
100-03 6.966 6.945 6.922 6.911 6.900 6.879 6.806
WAL 5.319 4.432 3.764 3.500 3.274 2.914 2.119
1st Prin 12/25/00 12/25/00 12/25/00 12/25/00 12/25/00 12/25/00 12/25/00
Mat. 07/25/12 02/25/11 07/25/09 10/25/08 03/25/08 02/25/07 12/25/04
Deal file: /home/kgrogan/deals/zero/zres00s15.cmo
--------------------------------------------------------------------------------------------------------------------------
October 27, 2000 11:39AM PRICE/YIELD TO MATURITY Table for ZRES00S15 Class A2 Merrill Lynch & Company
Settlement: November 29, 2000 Current Balance: $17,740,000.00 Current Coupon: 7% HyperStruct
Last Payment: None Next Payment: December 25, 2000
--------------------------------------------------------------------------------------------------------------------------
No default scenario exists
--------------------------------------------------------------------------------------------------------------------------
Scenario Assumption
------------ ------------ ------------ ------------ ------------ ------------ ------------
100 PSA 150 PSA 200 PSA 225 PSA 250 PSA 300 PSA 500 PSA
------------ ------------ ------------ ------------ ------------ ------------ ------------
Price Yield Dur Yield Dur Yield Dur Yield Dur Yield Dur Yield Dur Yield Dur
------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
96-09+ 7.500 8.22 7.517 7.89 7.544 7.40 7.563 7.10 7.585 6.78 7.642 6.06 7.956 3.84
96-11+ 7.492 7.509 7.536 7.554 7.576 7.632 7.939
96-13+ 7.485 7.501 7.527 7.545 7.566 7.621 7.922
96-15+ 7.477 7.493 7.518 7.536 7.557 7.611 7.905
96-17+ 7.469 8.23 7.485 7.89 7.510 7.41 7.527 7.11 7.547 6.78 7.600 6.06 7.889 3.84
96-19+ 7.461 7.477 7.501 7.518 7.538 7.589 7.872
96-21+ 7.453 7.468 7.492 7.509 7.528 7.579 7.855
96-23+ 7.446 7.460 7.484 7.500 7.519 7.568 7.838
96-25+ 7.438 8.24 7.452 7.90 7.475 7.42 7.491 7.12 7.509 6.79 7.558 6.07 7.822 3.84
96-27+ 7.430 7.444 7.466 7.482 7.500 7.547 7.805
96-29+ 7.422 7.436 7.458 7.473 7.491 7.536 7.788
96-31+ 7.414 7.428 7.449 7.464 7.481 7.526 7.772
97-01+ 7.407 8.25 7.420 7.91 7.440 7.42 7.455 7.12 7.472 6.79 7.515 6.08 7.755 3.85
97-03+ 7.399 7.412 7.432 7.446 7.462 7.505 7.738
97-05+ 7.391 7.403 7.423 7.437 7.453 7.494 7.722
97-07+ 7.383 7.395 7.415 7.428 7.443 7.484 7.705
97-09+ 7.376 8.25 7.387 7.91 7.406 7.43 7.419 7.13 7.434 6.80 7.473 6.08 7.688 3.85
97-11+ 7.368 7.379 7.397 7.410 7.425 7.463 7.672
97-13+ 7.360 7.371 7.389 7.401 7.415 7.452 7.655
97-15+ 7.352 7.363 7.380 7.392 7.406 7.442 7.639
97-17+ 7.345 8.26 7.355 7.92 7.372 7.44 7.383 7.14 7.397 6.80 7.431 6.09 7.622 3.85
97-19+ 7.337 7.347 7.363 7.374 7.387 7.421 7.606
97-21+ 7.329 7.339 7.354 7.365 7.378 7.410 7.589
97-23+ 7.322 7.331 7.346 7.356 7.368 7.400 7.573
97-25+ 7.314 8.27 7.323 7.93 7.337 7.44 7.347 7.14 7.359 6.81 7.389 6.09 7.556 3.85
97-27+ 7.306 7.315 7.329 7.338 7.350 7.379 7.540
97-29+ 7.299 7.307 7.320 7.329 7.340 7.369 7.523
WAL 13.160 12.329 11.225 10.582 9.900 8.493 4.695
1st Prin 07/25/12 02/25/11 07/25/09 10/25/08 03/25/08 02/25/07 12/25/04
Mat. 08/25/15 08/25/15 08/25/15 08/25/15 08/25/15 08/25/15 07/25/06
Deal file: /home/kgrogan/deals/zero/zres00s15.cmo
---------------------------------------------------------------------------------------------------------------------------
October 27, 2000 11:39AM PRICE/YIELD TO MATURITY Table for ZRES00S15 Class A3 Merrill Lynch & Company
Settlement: November 29, 2000 Current Balance: $30,000,000.00 Current Coupon: 7% HyperStruct
Last Payment: None Next Payment: December 25, 2000
---------------------------------------------------------------------------------------------------------------------------
No default scenario exists
---------------------------------------------------------------------------------------------------------------------------
Scenario Assumption
------------ ------------ ------------ ------------ ------------ ------------ ------------
100 PSA 150 PSA 200 PSA 225 PSA 250 PSA 300 PSA 500 PSA
------------ ------------ ------------ ------------ ------------ ------------ ------------
Price Yield Dur Yield Dur Yield Dur Yield Dur Yield Dur Yield Dur Yield Dur
------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
98-07+ 7.328 5.78 7.332 5.68 7.336 5.58 7.338 5.54 7.340 5.50 7.343 5.42 7.374 4.81
98-09+ 7.317 7.321 7.325 7.326 7.328 7.332 7.361
98-11+ 7.306 7.310 7.313 7.315 7.317 7.320 7.347
98-13+ 7.295 7.299 7.302 7.304 7.305 7.308 7.334
98-15+ 7.284 5.79 7.288 5.69 7.291 5.59 7.292 5.55 7.294 5.50 7.297 5.42 7.321 4.81
98-17+ 7.274 7.277 7.279 7.281 7.282 7.285 7.308
98-19+ 7.263 7.265 7.268 7.270 7.271 7.273 7.295
98-21+ 7.252 7.254 7.257 7.258 7.259 7.262 7.282
98-23+ 7.241 5.79 7.243 5.69 7.246 5.60 7.247 5.55 7.248 5.51 7.250 5.43 7.269 4.82
98-25+ 7.230 7.232 7.234 7.236 7.237 7.239 7.256
98-27+ 7.219 7.221 7.223 7.224 7.225 7.227 7.243
98-29+ 7.208 7.210 7.212 7.213 7.214 7.215 7.230
98-31+ 7.198 5.80 7.199 5.70 7.201 5.61 7.202 5.56 7.202 5.52 7.204 5.44 7.217 4.82
99-01+ 7.187 7.188 7.190 7.190 7.191 7.192 7.204
99-03+ 7.176 7.177 7.178 7.179 7.180 7.181 7.191
99-05+ 7.165 7.166 7.167 7.168 7.168 7.169 7.178
99-07+ 7.154 5.81 7.155 5.71 7.156 5.61 7.157 5.57 7.157 5.52 7.158 5.44 7.165 4.83
99-09+ 7.144 7.144 7.145 7.145 7.146 7.146 7.152
99-11+ 7.133 7.133 7.134 7.134 7.134 7.135 7.139
99-13+ 7.122 7.122 7.123 7.123 7.123 7.123 7.126
99-15+ 7.111 5.82 7.111 5.71 7.112 5.62 7.112 5.58 7.112 5.53 7.112 5.45 7.113 4.83
99-17+ 7.101 7.100 7.100 7.100 7.100 7.100 7.100
99-19+ 7.090 7.090 7.089 7.089 7.089 7.089 7.087
99-21+ 7.079 7.079 7.078 7.078 7.078 7.077 7.074
99-23+ 7.068 5.82 7.068 5.72 7.067 5.63 7.067 5.58 7.067 5.54 7.066 5.46 7.061 4.84
99-25+ 7.058 7.057 7.056 7.056 7.055 7.055 7.048
99-27+ 7.047 7.046 7.045 7.045 7.044 7.043 7.036
WAL 8.331 8.117 7.920 7.827 7.738 7.569 6.389
1st Prin 12/25/00 12/25/00 12/25/00 12/25/00 12/25/00 12/25/00 12/25/00
Mat. 08/25/15 08/25/15 08/25/15 08/25/15 08/25/15 08/25/15 08/25/15
Deal file: /home/kgrogan/deals/zero/zres00s15.cmo
----------------------------------------------------------------------------------------------------------------------------
Recipient must read the information in the attached underwriter's statement regarding computational materials
and other information (the 'Statement'). If the statement is not attached, please contact your account
representative. Do not use or rely on this information if you have not received and reviewed the Statement.
----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
