================================================================================
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): September 20, 1996
MERRILL LYNCH MORTGAGE INVESTORS, INC.
(AS DEPOSITOR UNDER THE POOLING AND SERVICING AGREEMENT,
DATED AS OF SEPTEMBER 1, 1996, PROVIDING FOR THE ISSUANCE OF
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1996-1)
MERRILL LYNCH MORTGAGE INVESTORS, INC.
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
DELAWARE 333-7569 13-3416059
-------- -------- ----------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification Number)
250 Vesey Street
World Financial Center
North Tower - 10th Floor
NEW YORK, NEW YORK 10281
- ------------------------- ---------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code: (212) 449-1000
================================================================================
<PAGE>
-2-
Item 5. OTHER EVENTS
Description of the Certificates and the Mortgage Pool
Merrill Lynch Mortgage Investors, Inc. (the "Depositor") will cause to
be filed with the Securities and Exchange Commission (the "Commission") pursuant
to the Commission's Rule 424 a Prospectus Supplement and the Prospectus filed as
part of Registration Statement, File No. 333-7569, in connection with the
Depositor's issuance of a series of certificates, entitled Merrill Lynch
Mortgage Investors, Inc., Mortgage Loan Asset-Backed Certificates, Series 1996-1
(the "Certificates"), to be issued pursuant to a pooling and servicing
agreement, dated as of September 1, 1996, among the Depositor as depositor (the
"Depositor"), Berkeley Federal Bank & Trust FSB as master servicer and Bankers
Trust Company of California, N.A. as trustee. The Certificates designated as the
Series 1996-1 Certificates will represent in the aggregate the entire beneficial
ownership in a trust fund (the "Trust Fund") consisting primarily of a
segregated pool (the "Mortgage Pool") of conventional, one- to four-family
mortgage loans, all of which are secured by first or second liens, having
original terms to maturity ranging from 15 years to 30 years (the "Mortgage
Loans"). The Mortgage Pool will consist of Mortgage Loans having an aggregate
principal balance as of September 1, 1996 (the "Cut-off Date") of approximately
$83,104,000.00
Computational Materials
Merrill Lynch, Pierce, Fenner & Smith Incorporated, as underwriter of
the Class A Certificates (the "Underwriter") has provided certain prospective
purchasers of Certificates with certain yield tables and other computational
materials, collateral term sheets and structural term sheets (the "Computational
Materials") in written form, which Computational Materials are in the nature of
data tables and term sheet information relating to the Mortgage Loans or other
assets of the Trust Fund, the structure of the Certificates and terms of certain
classes of Certificates, and the hypothetical characteristics and hypothetical
performance of certain classes of Certificates based on collateral information
provided by Berkeley Federal Bank & Trust FSB and under certain assumptions and
scenarios.
<PAGE>
-3-
Item 7. FINANCIAL STATEMENTS AND EXHIBITS
(a) Not applicable
(b) Not applicable
(c) Exhibits
EXHIBIT NO. DESCRIPTION
99 Computational Materials (as defined in Item 5) that have
been provided by Merrill Lynch, Pierce, Fenner & Smith
Incorporated to certain prospective purchasers of Merrill
Lynch Mortgage Investors, Inc., Mortgage Loan Asset-
Backed Certificates, Series 1996-1
<PAGE>
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.
Dated: September 20, 1996
MERRILL LYNCH MORTGAGE
INVESTORS, INC.
By: /s/ C.J. DeSantis
----------------------------------
Name: C.J. DeSantis
Title: Managing Director
<PAGE>
INDEX TO EXHIBITS
Sequentially
Exhibit No. Description Numbered Page
----------- ----------- -------------
99 Computational Materials (as defined in Item 5) 6
that have been provided by Merrill Lynch,
Pierce, Fenner & Smith Incorporated to
certain prospective purchasers of Merrill
Lynch Mortgage Investors, Inc., Mortgage
Loan Asset-Backed Certificates, Series 1996-1
Exhibit 99
<PAGE>
MERRILL LYNCH
Computational Materials
================================================================================
COMPUTATIONAL MATERIALS, COLLATERAL TERM SHEET AND STRUCTURAL
TERM SHEET DATED SEPTEMBER 18, 1996
Merrill Lynch Mortgage Investors,Inc.
Mortgage Loan Asset Backed Certificates, Series 1996-A
$83,104,000 (Approximate)
Subject to Revision
DEPOSITOR: Merrill Lynch Mortgage Investors, Inc., a Delaware corporation
and a wholly owned, limited purpose subsidiary of Merrill
Lynch Mortgage Capital, Inc.
MORTGAGE LOAN
SELLER AND
MASTER
SERVICER: Berkeley Federal Bank & Trust FSB, a federally chartered
savings bank.
TRUSTEE: Bankers Trust
UNDERWRITER: Merrill Lynch & Co.
<TABLE>
<CAPTION>
Expect.Ratings Beg. Amort. End Amort.
Class Amount (Moody's/S&P) WAL (Mo./Date) (Mo./Date)
<S> <C> <C> <C> <C> <C>
To Maturity:
A $83,104,000 Aaa/AAA 4.12 1 (10/96) 256 (1/18)
To Call:
A $83,104,000 Aaa/AAA 3.80 1 (10/96) 119 (8/06)
</TABLE>
CUT-OFF DATE: September 1, 1996
EXP. PRICING: Week of September 16, 1996
EXP. SETTLEMENT: Week of September 23, 1996
STATED FINAL
MATURITY: September, 2027
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>
INTEREST/
PRINCIPAL: The 25th day of each month (or if such 25th day is not a
business day, the next succeeding business day), commencing on
October 25, 1996.
SMMEA: The Class A Certificates will be SMMEA eligible so long as
they are rated not lower than the second highest rating
category by a nationally recognized Rating Agency.
ERISA: Subject to conditions set forth in the prospectus, the Class A
Certificates will be ERISA eligible. Prospective Investors
should consult their counsel.
TAX STATUS: A REMIC election will be made with respect to certain assets
of the Trust.
COLLATERAL OVERVIEW:
FIXED RATE MORTGAGE LOANS: conventional, fixed-rate Mortgage
Loans secured by first liens on residential real properties
consisting of Single-Family, Two- to Four-Family, Low Rise
Condominium and Planned Unit Development dwellings. ADJUSTABLE
RATE MORTGAGE LOANS: conventional, adjustable rate Mortgage
Loans secured by first liens on residential real properties
(consisting of Single- Family, Two-to Four-Family, Low Rise
Condominium and Planned Unit Development dwellings) indexed to
6 Month LIBOR, provided, however, that in the case of
approximately 75% of the Adjustable Rate Mortgage Loans the
first Adjustment Date for such Mortgage Loans will occur after
an initial period of two years and in the case of
approximately 1.5% of such Mortgage Loans, three years from
the origination thereof.
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.
2
<PAGE>
CREDIT ENHANCEMENT:
The Credit Enhancement provided for the benefit of the Class A
Certificateholders consists of the overcollateralization and
the Policy issued by Financial Security Assurance (FSA or the
Insurer).
The Insurer will irrevocably and unconditionally guarantee
payment to the Trustee, for the benefit of the holders of the
Class A Certificates, on each Distribution Date of an amount
that will cover any interest shortfalls (except for shortfalls
in respect of the Relief Act, Basis Risk Shortfalls and Unpaid
Basis Risk Shortfalls) allocated to the Class A Certificates
plus the principal portion of any Realized Losses allocated to
the Class A Certificates.
PRINCIPAL DISTRIBUTIONS:
The Class A Certificates will receive payments of principal from the Fixed Rate
and Adjustable Rate Mortgage Loans.
INTEREST DISTRIBUTIONS:
PRIOR TO THE AVAILABILITY OF THE 10% CLEAN-UP CALL (AS DEFINED BELOW):
On each Remittance Date, interest will accrue at the Class A Pass- Through Rate
from the preceding Remittance Date (or from the Closing Date in the case of the
first Remittance Date) to and including the day prior to the current Remittance
Date on the outstanding principal balance of the Class A Certificates. All
calculations of interest on the Class A Certificates will be computed on the
basis of the actual number of days elapsed in the related interest period and in
a year of 360 days. The Class A Pass Through Rate will be equal to the lesser of
(1) One-Month LIBOR plus [ ]% per annum and (2) the weighted average of the
Mortgage Rates minus the sum of (a) the Servicing Fee Rate (0.50%), (b) the
Trustee Fee Rate (0.01%), (c) the rate at which monthly premiums are payable to
the Insurer (0.18%) and (d) the Minimum Spread (0.75% per annum) (such
difference equaling the "Available Funds Cap Rate").
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.
3
<PAGE>
After the availability of the 10% cleanup call the Class A Pass-Through Rate
will increase on and after the date on which the 10% clean-up call becomes
available but is not exercised, subject to the Available Funds Pass Through
Rate.
BASIS RISK SHORTFALL:
With respect to the Class A Certificates and any Distribution Date, to the
extent that the amount payable if clause (1) of the related definition of Class
A Pass-Through Rate above is used to calculate interest exceeds the amount
payable if clause (2) of the related definition of Pass-Through Rate above is
used to calculate interest (the "Basis Risk Shortfall"), the holders of the
Class A Certificates will be entitled to the amount of such Basis Risk Shortfall
with interest thereon at the Pass-Through Rate for such Certificates applicable
from time to time after certain distributions to the holders of the Class A
Certificates and the Insurer but before the Residual Certificates are entitled
to any distributions. The "Unpaid Basis Risk Shortfall" for the Class A
Certificates on any Distribution Date is equal to the aggregate of all Basis
Risk Shortfalls for any previous Distribution Dates less all payments made to
the holders of the Class A Certificates in respect of such Basis Risk Shortfalls
on or prior to such Distribution Date. The Policy will not cover Basis Risk
Shortfalls or Unpaid Basis Risk Shortfalls.
SUPPLEMENTAL INTEREST:
On any Remittance Date through July 25, 1998 or such other date as specified in
the Prospectus, Holders of the Class A Certificates may be entitled to
supplemental payments of interest (the "Supplemental Interest"), pursuant to a
Cap Agreement in an amount equal to the excess of (1) the amount of interest
calculated at the Class A Pass- Through Rate without giving effect to the
Available Funds Cap Rate, over (2)the amount of interest otherwise due to the
Holders of the Class A Certificates calculated at the Class A Pass-Through Rate
after giving effect to the Available Funds Cap Rate.
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.
4
<PAGE>
OPTIONAL TERMINATION/10% CLEANUP CALL:
At its option, the majority holder of the Residual Certificates (or if such
holder does not exercise such option, the Master Servicer or the Insurer) may
purchase all of the Mortgage Loans, together with any properties in respect
thereof acquired by the Trustee, and thereby effect termination and early
retirement of the Certificates, on any Distribution Date on which the aggregate
principal balance of the Mortgage Loans and such properties remaining is 10% or
less of the aggregate principal balance of the Mortgage Loans as of the Cut-Off
Date.
MORTGAGE POOL CHARACTERISTICS
The following represents the characteristics of the Fixed and Adjustable Rate
Mortgage Loans as of September 1, 1996. The Mortgage Loan Seller and Servicer
has recently originated the remainder of the Mortgage Loans and therefor will
deliver all of the Mortgage Loans at Closing. It is anticipated that the
Adjustable Rate Mortgage Loans will represent approximately 79.5% and the Fixed
Rate Mortgage Loans will represent approximately 20.5% of the Portfolio at
Closing. The characteristics of the newly originated Mortgage Loans may differ
slightly from those set forth below.
FIXED RATE MORTGAGE LOANS AS OF SEPTEMBER 1, 1996):
Initial Home Equity Loan Principal Balance: $13,494,619
Properties secured by 1st/2nd Liens: 99.31%/0.69%
Weighted Average Coupon: 10.69%
Weighted Average CLTV: 69.96%
Weighted Average Rem. Term: 288 mos
Weighted Average Original Term: 291 mos
Geographic Distribution: 16 States
States w/ >5% Concentrations: CA-43.98%, UT-
13.80%,WA-11.40%,
FL 9.23
Balloons (30's due in 15): 27.28%
Occupancy-
Owner Occupied: 91.27%
Non-Owner Occupied: 8.73%
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.
5
<PAGE>
Property Type-
Condo (Low Rise): 0.37%
PUD: 2.36%
Single Family: 95.93%
2 Family: 1.34%
Loan Purpose-
Cashout: 55.10%
Purchase: 11.76%
Refinance: 33.14%
ADJUSTABLE RATE MORTGAGE LOANS AS OF SEPTEMBER 1, 1996):
Initial Home Equity Loan Principal Balance: $39,031,462
Weighted Average Coupon: 10.07%
Weighted Average Lifetime Cap: 16.55%
Weighted Average Lifetime Floor: 10.04%
Weighted Average Gross Margin: 6.29%
Weighted Average Rem. Term: 358 mos.
Weighted Average Original Term: 360 mos
Properties secured by 1st Liens: 100.00%
Weighted Average CLTV: 73.48%
Geographic Distribution: 27 States
States w/ >5% Concentrations: CA-37.06%,OR-
8.80%,AZ-
7.20%,FL-6.14%, WA-
5.51%,IL-5.47%
UT-5.37%
Balloons: 0%
Occupancy-
Owner Occupied: 88.57%
Non-Owner Occupied: 11.43%
Property Type-
Condo (Low Rise): 2.11%
PUD: 2.07%
Single Family: 93.43%
2-4 Family: 1.68%
Townhouse: 0.72%
Loan Purpose-
Purchase: 24.66%
Refinance: 22.19%
Cashout: 53.15%
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.
6
<PAGE>
PREPAYMENT ASSUMPTIONS:
With respect to the Fixed Rate Mortgage Loans, a 100% Prepayment Assumption
assumes constant prepayment rates (CPR) of 4.00% per annum of the then
outstanding principal balance of the Mortgage Loans in the first month of the
life of the mortgage loans and an additional 0.947368% per annum (or more
precisely 18/19) each month thereafter until the nineteenth month. Beginning in
the twentieth month and in each month thereafter during the life of the mortgage
loans 100% Prepayment Assumption assumes a constant prepayment rate of 22% per
annum each month.
SCENARIO I II III IV V
% Prepay Assumpt.-
Fixed Rate Loans 0% 50% 100% 150% 200%
CPR-
Adjustable Rate Loans 0% 15% 20% 25% 30%
PREPAYMENT CHARGES:
Approximately 91% of the Fixed Rate Mortgage Loans and approximately 79% of the
Adjustable Rate Mortgage Loans provide for payment by the mortgagor of a
prepayment charge in limited circumstances on certain prepayments. Generally,
each such Mortgage Loan provides for payment of a prepayment charge on certain
partial prepayments and all prepayments in full made within one year, two years,
three years or five years from the date of origination of such Mortgage Loan.
The amount of the prepayment charge is as provided in the related Mortgage Note
but is generally equal to six month's interest on any amounts prepaid in excess
of 20% of the then outstanding principal balance of the related Mortgage Loan in
any 12 month period. The Master Servicer will be entitled to all prepayment
charges received on the Mortgage Loans and such amounts will not be available
for distribution on the Class A Certificates.
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.
7
<PAGE>
CLASS A CERTIFICATE PREPAYMENT SENSITIVITY ANALYSIS:
(NO CLEAN-UP CALL)
SCENARIO I II III IV V
- -- --- -- -
Class A WAL (yrs.) 20.83 5.86 4.12 3.15 2.52
Class A Exp. Beg. Am. 1 1 1 1 1
Class A Exp. End. Am. 358 322 256 204 167
(10% CLEAN-UP CALL)
SCENARIO I II III IV V
- -- --- -- -
Class A WAL (yrs.) 20.78 5.48 3.80 2.89 2.31
Class A Exp. Beg. Am. 1 1 1 1 1
Class A Exp. End. Am. 347 172 119 90 72
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.
8
<PAGE>
<TABLE>
<CAPTION>
----------------------------------------------------
FIXED RATE LOANS
----------------------------------------------------
Report Profile: PROSPF Fixed Rate Portfolio Summary Code File: OCWEN
===============================================================================================================
P O O L T O T A L S AVERAGE GROSS COUPON WTD AVG RMNG TERM WTDAV
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX ORIG L T V
- ---------------------------------------------------------------------------------------------------------------
147 $ 13,494,619 $ 91,800 10.693 8.875 15.000 290.7 70.0
===============================================================================================================
===================================================== =====================================================
STATE REPORT LOANS CURRENT BAL %POOL CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- ----------------------------------------------------- -----------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
AZ 1 191,250 1.42 20000.01- 25000.00 2 48,981 0.36
CA 55 5,934,625 43.98 25000.01- 30000.00 7 193,683 1.44
CO 8 525,266 3.89 30000.01- 35000.00 3 99,924 0.74
FL 21 1,245,232 9.23 35000.01- 40000.00 6 225,046 1.67
ID 2 203,269 1.51 40000.01- 45000.00 6 249,346 1.85
IN 13 597,167 4.43 45000.01- 50000.00 4 193,175 1.43
MA 2 113,983 0.84 50000.01- 55000.00 5 266,267 1.97
MI 3 324,002 2.40 55000.01- 60000.00 10 575,682 4.27
NC 2 379,934 2.82 60000.01- 65000.00 5 315,319 2.34
NV 1 64,983 0.48 65000.01- 70000.00 7 479,226 3.55
NY 1 165,000 1.22 70000.01- 75000.00 10 732,983 5.43
OR 3 225,711 1.67 75000.01- 80000.00 6 477,351 3.54
PA 1 99,971 0.74 80000.01- 85000.00 6 493,463 3.66
TX 1 23,981 0.18 85000.01- 90000.00 2 178,000 1.32
UT 21 1,862,169 13.80 90000.01- 95000.00 8 743,721 5.51
WA 12 1,538,078 11.40 95000.01- 100000.00 10 980,080 7.26
100000.01- 125000.00 25 2,757,973 20.44
===================================================== 125000.01- 150000.00 10 1,386,117 10.27
PROPERTY TYPE REPORT LOANS CURRENT BAL %POOL 150000.01- 175000.00 7 1,143,451 8.47
- ----------------------------------------------------- 175000.01- 200000.00 2 389,704 2.89
CONDO 1 49,978 0.37 200000.01- 225000.00 2 439,562 3.26
PUD 1 318,334 2.36 250000.01- 275000.00 2 515,166 3.82
SFR 142 12,945,375 95.93 275000.01- 300000.00 1 292,068 2.16
UNIT2 3 180,933 1.34 300000.01- 325000.00 1 318,334 2.36
===================================================== =====================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL MORTGAGE RATE LOANS CURRENT BAL %POOL
- ----------------------------------------------------- -----------------------------------------------------
NON-OWNER OCCUPIED 17 1,177,779 8.73 8.500- 8.999 2 192,536 1.43
OWNER OCCUPIED 130 12,316,840 91.27 9.000- 9.499 6 537,355 3.98
9.500- 9.999 36 3,565,996 26.43
===================================================== 10.000- 10.499 17 1,675,224 12.41
LOAN PURPOSE LOANS CURRENT BAL %POOL 10.500- 10.999 37 3,531,267 26.17
- ----------------------------------------------------- 11.000- 11.499 14 1,079,290 8.00
CASHOUT 88 7,436,074 55.10 11.500- 11.999 22 1,675,227 12.41
PURCHASE 18 1,586,639 11.76 12.000- 12.499 3 269,449 2.00
REFINANCE 41 4,471,907 33.14 12.500- 12.999 7 751,134 5.57
13.500- 13.999 2 158,658 1.18
===================================================== 15.000- 15.499 1 58,483 0.43
DOCUMENTATION REPORT LOANS CURRENT BAL %POOL WTD AVERAGE: 10.693
- -----------------------------------------------------
NIV/1003 55 4,782,343 35.44 =======================================================
FULL 88 8,301,992 61.52 LIEN POSITION LOANS CURRENT BAL %POOL
LITE 4 410,284 3.04 -------------------------------------------------------
1 146 13,402,092 99.31
2 1 92,527 0.69
=====================================================
RISK CATEGORIES LOANS CURRENT BAL %POOL
- -----------------------------------------------------
A 19 1,789,772 13.26
A- 71 6,323,108 46.86
B 42 3,786,932 28.06
C 9 1,050,208 7.78
C- 1 44,173 0.33
D 5 500,426 3.71
=====================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- -----------------------------------------------------
180 49 5,168,054 38.30
240 1 37,453 0.28
360 97 8,289,112 61.43
=====================================================
AMORTIZATION REPORT LOANS CURRENT BAL %POOL
- -----------------------------------------------------
180 16 1,486,492 11.02
240 1 37,453 0.28
360 130 11,970,674 88.71
=====================================================
LOAN TO VALUE RATIO LOANS CURRENT BAL %POOL
- -----------------------------------------------------
10.01- 20.00 1 40,682 0.30
20.01- 30.00 2 72,889 0.54
30.01- 40.00 6 404,194 3.00
40.01- 50.00 7 734,284 5.44
50.01- 60.00 17 1,319,587 9.78
60.01- 70.00 38 2,822,564 20.92
70.01- 75.00 38 3,988,126 29.55
75.01- 80.00 29 3,080,360 22.83
80.01- 85.00 9 1,031,933 7.65
WTD AVERAGE: 69.96
=====================================================
PROGRAM LOANS CURRENT BAL %POOL
- -----------------------------------------------------
30 YR FIXED 87 7,531,762 55.81
30 YR FIXED/15 YR BALLOON 33 3,681,562 27.28
15 YR FIXED 15 1,461,142 10.83
LOW START 30 YR 10 757,350 5.61
20 YR FIXED 1 37,453 0.28
LOW START 15 YR 1 25,350 0.19
</TABLE>
9
<PAGE>
<TABLE>
<CAPTION>
----------------------------------------------------
FIXED RATE LOANS
----------------------------------------------------
Report Profile: PROSPF Fixed Rate Portfolio Summary Code File: OCWEN
===============================================================================================================
P O O L T O T A L S AVERAGE GROSS COUPON WTD AVG RMNG TERM WTDAV
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX ORIG L T V
- ---------------------------------------------------------------------------------------------------------------
147 $ 13,494,619 $ 91,800 10.693 8.875 15.000 290.7 70.0
===============================================================================================================
=====================================================
DEBT TO INCOME LOANS CURRENT BAL %POOL
- -----------------------------------------------------
<S> <C> <C> <C>
10.01- 20.00 11 889,094 6.59
20.01- 30.00 27 2,076,360 15.39
30.01- 40.00 38 2,966,572 21.98
40.01- 50.00 51 5,625,492 41.69
50.01- 60.00 20 1,937,101 14.35
WTD AVERAGE: 39.38
=====================================================
STATED REMAINING TERM LOANS CURRENT BAL %POOL
- -----------------------------------------------------
157- 168 2 189,890 1.41
169- 180 47 4,978,164 36.89
229- 240 1 37,453 0.28
337- 348 2 90,434 0.67
349- 360 95 8,198,679 60.76
WTD AVERAGE: 288
=====================================================
PREPAY PENALTY LOANS CURRENT BAL %POOL
- -----------------------------------------------------
0 YR 11 1,202,584 8.91
1 YR 16 1,549,158 11.48
2 YR 3 318,599 2.36
3 YR 87 7,863,387 58.27
5 YR 30 2,560,891 18.98
</TABLE>
10
<PAGE>
<TABLE>
<CAPTION>
----------------------------------------------------
ADJUSTABLE RATE LOANS
----------------------------------------------------
Report Profile: PROSP SuperCrack Portfolio Summary Code File: OCWEN
====================================================================================================================================
P O O L T O T A L S AVERAGE GROSS COUPON RMNG TERM WTDAV M A R G I N L I F E C A P LIFE FLOOR
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX ORIG L T V WTDAVG MIN MAX WTDAVG MIN MAX %-0 WTDVAG MIN MAX %-0
- ------------------------------------------------------------------------------------------------------------------------------------
344 $ 39,031,462 $113,464 10.066 7.250 14.990 360.0 73.5 6.291 3.750 8.950 16.553 13.000 24.500 100
====================================================================================================================================
===================================================== =====================================================
STATE REPORT LOANS CURRENT BAL %POOL LOAN PURPOSE LOANS CURRENT BAL %POOL
- ----------------------------------------------------- -----------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AZ 25 2,811,136 7.20 CASHOUT 197 20,744,510 53.15
CA 108 14,466,293 37.06 PURCHASE 80 9,624,276 24.66
CO 14 1,658,387 4.25 REFINANCE 67 8,662,676 22.19
CT 2 169,947 0.44
FL 26 2,395,213 6.14 =======================================================
GA 4 333,960 0.86 DOCUMENTATION REPORT LOANS CURRENT BAL %POOL
ID 1 89,427 0.23 -------------------------------------------------------
IL 16 2,133,501 5.47 NIV/1003 138 16,233,538 41.59
IN 10 658,473 1.69 FULL 181 19,914,051 51.02
MA 11 1,348,448 3.45 LITE 25 2,883,873 7.39
MI 8 685,281 1.76
MO 2 546,000 1.40 =======================================================
NC 7 846,579 2.17 MARGIN REPORT LOANS CURRENT BAL %POOL
NH 1 76,362 0.20 -------------------------------------------------------
NJ 10 1,575,411 4.04 3.750- 3.999 1 431,474 1.11
NV 2 318,719 0.82 4.500- 4.749 1 158,879 0.41
NY 3 461,496 1.18 4.750- 4.999 3 294,925 0.76
OH 1 39,500 0.10 5.000- 5.249 8 850,407 2.18
OR 34 3,435,884 8.80 5.250- 5.499 11 1,124,110 2.88
RI 1 79,866 0.20 5.500- 5.749 21 3,166,644 8.11
TX 4 301,710 0.77 5.750- 5.999 57 8,159,859 20.91
UT 24 2,095,043 5.37 6.000- 6.249 27 3,432,574 8.79
VA 2 128,520 0.33 6.250- 6.499 39 4,792,835 12.28
VT 1 67,867 0.17 6.500- 6.749 47 4,874,749 12.49
WA 25 2,152,415 5.51 6.750- 6.999 41 3,867,567 9.91
WI 1 53,625 0.14 7.000- 7.249 29 3,236,942 8.29
WV 1 102,400 0.26 7.250- 7.499 29 1,800,673 4.61
7.500- 7.749 15 1,573,975 4.03
===================================================== 7.750- 7.999 11 1,029,224 2.64
PROPERTY TYPE REPORT LOANS CURRENT BAL %POOL 8.250- 8.499 3 201,635 0.52
- ----------------------------------------------------- 8.750- 8.999 1 34,990 0.09
CONDO 13 824,489 2.11 WTD AVERAGE: 6.291
PUD 8 808,683 2.07
SFR 314 36,467,070 93.43 =====================================================
TOWNHOUSE 2 280,041 0.72 RATE FREQUENCY ADJ. LOANS CURRENT BAL %POOL
UNIT2 4 353,257 0.91 -----------------------------------------------------
UNIT3 2 185,966 0.48 6 344 39,031,462 100.00
UNIT4 1 111,957 0.29
=====================================================
===================================================== PERIODIC CAP LOANS CURRENT BAL %POOL
OCCUPANCY STATUS LOANS CURRENT BAL %POOL -----------------------------------------------------
- ----------------------------------------------------- 1.000 342 38,847,973 99.53
NON-OWNER OCCUPIED 50 4,462,120 11.43 1.500 2 183,490 0.47
OWNER OCCUPIED 294 34,569,342 88.57
=====================================================
CONVERT TO FIXED RATE LOANS CURRENT BAL %POOL
-----------------------------------------------------
N 344 39,031,462 100.00
=====================================================
LIFECAP REPORT LOANS CURRENT BAL %POOL
- -----------------------------------------------------
13.000- 13.499 1 99,606 0.26
13.500- 13.999 2 269,211 0.69
14.000- 14.499 12 1,805,602 4.63
14.500- 14.999 9 1,294,426 3.32
15.000- 15.499 29 4,508,681 11.55
15.500- 15.999 19 2,390,337 6.12
16.000- 16.499 78 9,564,826 24.51
16.500- 16.999 50 5,287,448 13.55
17.000- 17.499 65 6,777,413 17.36
17.500- 17.999 32 3,332,339 8.54
18.000- 18.499 23 1,524,712 3.91
18.500- 18.999 10 1,115,307 2.86
19.000- 19.499 9 856,411 2.19
19.500- 19.999 3 114,685 0.29
21.000- 21.499 1 57,676 0.15
24.500- 24.999 1 32,782 0.08
WTD AVERAGE: 16.553
=====================================================
MORTGAGE RATE LOANS CURRENT BAL %POOL
- -----------------------------------------------------
7.000- 7.499 3 362,731 0.93
7.500- 7.999 13 1,844,574 4.73
8.000- 8.499 9 1,336,263 3.42
8.500- 8.999 27 4,238,410 10.86
9.000- 9.499 16 1,888,894 4.84
9.500- 9.999 79 9,780,538 25.06
10.000- 10.499 54 5,647,185 14.47
10.500- 10.999 69 7,302,516 18.71
11.000- 11.499 28 2,997,788 7.68
11.500- 11.999 19 1,359,119 3.48
12.000- 12.499 12 1,144,237 2.93
12.500- 12.999 8 759,022 1.94
13.000- 13.499 3 203,445 0.52
13.500- 13.999 1 55,028 0.14
14.000- 14.499 2 54,035 0.14
14.500- 14.999 1 57,676 0.15
WTD AVERAGE: 10.066
=====================================================
RISK CATEGORIES LOANS CURRENT BAL %POOL
- -----------------------------------------------------
A 13 1,943,417 4.98
A- 162 20,498,397 52.52
B 105 10,839,796 27.77
C 33 3,500,913 8.97
D 31 2,248,939 5.76
</TABLE>
11
<PAGE>
<TABLE>
<CAPTION>
----------------------------------------------------
ADJUSTABLE RATE LOANS
----------------------------------------------------
Report Profile: PROSP SuperCrack Portfolio Summary Code File: OCWEN
====================================================================================================================================
P O O L T O T A L S AVERAGE GROSS COUPON RMNG TERM WTDAV M A R G I N L I F E C A P LIFE FLOOR
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX ORIG L T V WTDAVG MIN MAX WTDAVG MIN MAX %-0 WTDVAG MIN MAX %-0
- ------------------------------------------------------------------------------------------------------------------------------------
344 $ 39,031,462 $113,464 10.066 7.250 14.990 360.0 73.5 6.291 3.750 8.950 16.553 13.000 24.500 100
====================================================================================================================================
===================================================== =====================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL LOAN TO VALUE RATIO LOANS CURRENT BAL %POOL
- ----------------------------------------------------- -----------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
25000.01- 30000.00 6 170,398 0.44 10.01- 20.00 1 29,990 0.08
30000.01- 35000.00 7 232,906 0.60 20.01- 30.00 3 164,189 0.42
35000.01- 40000.00 8 307,876 0.79 30.01- 40.00 5 302,064 0.77
40000.01- 45000.00 9 379,067 0.97 40.01- 50.00 15 1,095,864 2.81
45000.01- 50000.00 13 631,694 1.62 50.01- 60.00 27 2,030,620 5.20
50000.01- 55000.00 14 745,642 1.91 60.01- 70.00 87 8,089,051 20.72
55000.01- 60000.00 23 1,335,936 3.42 70.01- 75.00 88 11,874,450 30.42
60000.01- 65000.00 10 625,046 1.60 75.01- 80.00 80 9,977,430 25.56
65000.01- 70000.00 10 672,679 1.72 80.01- 85.00 37 5,340,304 13.68
70000.01- 75000.00 19 1,388,038 3.56 85.01- 90.00 1 127,500 0.33
75000.01- 80000.00 19 1,476,222 3.78 WTD AVERAGE: 73.48
80000.01- 85000.00 8 675,813 1.73
85000.01- 90000.00 19 1,671,961 4.28 =====================================================
90000.01- 95000.00 12 1,108,999 2.84 PROGRAM LOANS CURRENT BAL %POOL
95000.01- 100000.00 22 2,158,336 5.53 -----------------------------------------------------
100000.01- 125000.00 59 6,632,045 16.99 2YR FIXED,6 MONTH LIBOR 260 29,448,650 75.45
125000.01- 150000.00 27 3,628,627 9.30 6 MONTH LIBOR ARM 58 7,096,601 18.18
150000.01- 175000.00 15 2,426,330 6.22 LOW START ARM 19 1,881,356 4.82
175000.01- 200000.00 10 1,823,129 4.67 3 YR FIXED 6 MONTH LIBOR 7 604,855 1.55
200000.01- 225000.00 6 1,284,989 3.29
225000.01- 250000.00 7 1,663,385 4.26 =====================================================
250000.01- 275000.00 6 1,581,459 4.05 DEBT TO INCOME LOANS CURRENT BAL %POOL
275000.01- 300000.00 4 1,134,178 2.91 -----------------------------------------------------
300000.01- 325000.00 1 324,679 0.83 0.01- 10.00 2 124,977 0.32
325000.01- 350000.00 1 328,908 0.84 10.01- 20.00 19 1,377,411 3.53
375000.01- 400000.00 1 386,250 0.99 20.01- 30.00 44 4,779,760 12.25
425000.01- 450000.00 1 431,474 1.11 30.01- 40.00 97 10,373,967 26.58
450000.01- 475000.00 1 460,000 1.18 40.01- 50.00 132 16,040,861 41.10
475000.01- 500000.00 4 1,960,757 5.02 50.01- 60.00 47 5,800,328 14.86
500000.01+ 2 1,384,639 3.55 60.01- 70.00 3 534,158 1.37
WTD AVERAGE: 40.49
=====================================================
LIEN POSITION LOANS CURRENT BAL %POOL =====================================================
- ------------------------------------------------------ STATED REMAINING TERM LOANS CURRENT BAL %POOL
1 344 39,031,462 100.00 -----------------------------------------------------
337- 348 6 293,938 0.75
===================================================== 349- 360 338 38,737,524 99.25
ORIGINAL TERM LOANS CURRENT BAL %POOL WTD AVERAGE: 358
- -----------------------------------------------------
360 344 39,031,462 100.00 =====================================================
PREPAY PENALTY LOANS CURRENT BAL %POOL
===================================================== -----------------------------------------------------
AMORTIZATION REPORT LOANS CURRENT BAL %POOL 0 YR 60 8,224,091 21.07
- ----------------------------------------------------- 1 YR 29 2,863,119 7.34
360 344 39,031,462 100.00 2 YR 183 21,123,564 54.12
3 YR 37 3,000,719 7.69
4 YR 1 290,000 0.74
5 YR 34 3,529,969 9.04
=====================================================
NEXT RATE ADJUSTMENT LOANS CURRENT BAL %POOL
- -----------------------------------------------------
11/15/1996 2 190,216 0.49
12/01/1996 11 1,026,812 2.63
01/01/1997 40 5,354,933 13.72
01/15/1997 1 29,198 0.07
02/01/1997 17 1,588,638 4.07
03/01/1997 5 671,450 1.72
03/15/1997 1 116,710 0.30
07/01/1997 2 103,617 0.27
11/01/1997 1 123,291 0.32
12/01/1997 1 74,103 0.19
01/01/1998 2 900,486 2.31
02/01/1998 2 154,541 0.40
03/01/1998 2 121,793 0.31
04/01/1998 1 72,636 0.19
05/01/1998 3 572,985 1.47
06/01/1998 11 1,853,748 4.75
07/01/1998 142 16,313,549 41.80
08/01/1998 67 6,351,072 16.27
09/01/1998 26 2,806,830 7.19
06/01/1999 1 65,549 0.17
07/01/1999 3 304,006 0.78
08/01/1999 3 235,300 0.60
</TABLE>
12
<PAGE>
The preceding 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 collateral information set forth herein supersedes all previously
distributed collateral information relating to this transaction and will itself
be superseded by the information contained in the final prospectus and
prospectus supplement. The information herein is preliminary, and will be
subsequently filed with the Securities and Exchange Commission. They may not be
provided 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 Material
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.
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.
13
<PAGE>
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 an offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitations or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for
definitive Computational Materials on any matter discussed in this
communication. A final prospectus and prospectus supplement may be obtained by
contacting the Merrill Lynch Trading Desk at (212) 449-3659.
Please be advised that asset-backed securities may not be appropriate
for all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayments, yield curve and interest rate
risk. Investors should fully consider the risk of an investment in these
securities.
If you have received this communication in error, please notify the
sending party immediately by telephone and return the original to such party by
mail.
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.
14
