- -----------------------------------------------------------------------------
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): May 26, 1999
MERRILL LYNCH MORTGAGE INVESTORS, INC.
(Exact name of registrant as specified in its charter)
Delaware 333-39127 13-5674085
- ----------------------------- ---------------- ----------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
250 Vesey Street
World Financial Center, North Tower
New York, New York 10281
- ----------------------------------- ---------------------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 449-1000
- -----------------------------------------------------------------------------
<PAGE>
Item 5. Other Events.
Filing of Computational Materials
In connection with the proposed offering of the C-BASS Mortgage Loan
Asset-Backed Certificates, Series 1999-CB2 (the "Certificates"), Merrill Lynch
& Co. Inc., as the representative of the underwriters (the "Representative"),
has prepared certain materials (the "Series Term Sheet" including the
"Computational Materials") for distribution to their potential investors.
Although Merrill Lynch Mortgage Investors, Inc. (the "Company") provided the
Representative with certain information regarding the characteristics of the
mortgage loans (the "Mortgage Loans") in the related portfolio, the Company
did not participate in the preparation of the Computational Materials.
For purposes of this Form 8-K, Computational Materials shall mean
computer generated tables and/or charts displaying, with respect to the
Certificates, any of the following: yield; average life; duration, expected
maturity; interest rate sensitivity; loss sensitivity; cash flow
characteristics; background information regarding the Mortgage Loans; the
proposed structure; decrement tables; or similar information (tabular or
otherwise) of a statistical, mathematical, tabular or computational nature.
The Series Term Sheet including Computational Materials is attached hereto as
Exhibit 99.1.
<PAGE>
Item 7. Financial Statements, Pro Forma Financial
Information and Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 The Series Term Sheet including Computational Materials,
filed on Form 8-K dated May 26, 1999.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as
amended, the registrant has duly caused this report to be signed on its behalf
by the undersigned hereunto duly authorized.
MERRILL LYNCH MORTGAGE INVESTORS,
INC.
By: /s/ Peter Cerwin
-------------------------------
Peter Cerwin
Vice President
Dated: May 27, 1999
<PAGE>
Exhibit Index
Exhibit Page
- ------- ----
99.1 The Series Term Sheet including Computational
Materials, filed on Form 8-K dated May 26, 1998
<PAGE>
Exhibit 99.1
(LOGO OMITTED) MERRILL LYNCH
- -------------------------------------------------------------------------------
ABS New Transaction
REVISED 5/26/99*
Computational Materials
$300,088,000 (Approximately)
[OBJECT OMITTED] C-BASS(SM)
CREDIT-BASED ASSET SERVICING
AND SECURITIZATION LLC
C-Bass MORTGAGE LOAN
Asset-backed certificates,
series 1999-cb2
Credit-Based Asset Servicing and Securitization LLC (C-BASS)
Seller
Litton Loan Servicing LP
Servicer
Merrill Lynch Mortgage Investors, Inc.
Depositor
* Please note that only the Group 1 and Group 3 Loan Status tables, which can
be found on pages 22 and 32 respectively, have been revised.
<PAGE>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
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.
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Group 1 Certificates (FHA/VA):
- -----------------------------
Expected Payment
Class Ratings Average Life Window Day
Class Size(1) Tranche Type Moody's/ Duff To Maturity(3) To Maturity(3) Count
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1A $141,832,106 Senior Fixed Aaa/AAA 5.22 1 - 331 30/360
1A-IO $144,160,899(2) Fixed IO Aaa/AAA 5.45 1 - 311 30/360
1A-PO $161,894 Fixed PO Aaa/AAA 5.45 1 - 331 30/360
1M-1 $1,110,000 Fixed Mezzanine Aa/AA 10.85 1 - 331 30/360
1M-2 $740,000 Fixed Mezzanine A/A 10.85 1 - 331 30/360
1M-3 $740,000 Fixed Mezzanine Baa2/BBB 10.85 1 - 331 30/360
- -----------------------------------------------------------------------------------------------------------------
(1) Class sizes are subject to a variance of 10%
(2) Notional Amount
(3) 100% of prepayment assumption.
</TABLE>
<TABLE>
<CAPTION>
Group 2 Certificates:
- --------------------
- -----------------------------------------------------------------------------------------------------------------
Exp. Ratings Average Payment Initial
Class Tranche Moody's/ Life Window Day Wtg Avg
Class Size(1) Type Fitch / Duff To Call(2) To Call(2) Count Net Life Cap
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2A-1(3) $84,958,000 Senior Flt.(5) Aaa/AAA/AAA 2.37 1 - 86 Act/360 8.82%
2A-2 (3) $43,008,000 Senior Flt.(6) Aaa/AAA/AAA 1.81 1 - 86 Act/360 15.01%
2M-1(4) $10,529,000 Fixed Mez. Aa2/AA/AA 4.97 42 - 86 30/360 N/A
2M-2 (4) $8,909,000 Fixed Mez. A2/A/A 4.86 40 - 86 30/360 N/A
2B (4) $8,100,000 Fixed Sub. Baa3/BBB/BBB 4.80 38 - 86 30/360 N/A
- -----------------------------------------------------------------------------------------------------------------
(1) Class sizes are subject to a variance of 10%
(2) 10% Clean up call, 100% of prepayment assumption.
(3) Subject to Available Funds Cap
(4) Subject to a Net WAC Cap
(5) Primarily represents an interest in Sub Pool 2 (6) Primarily
represents an interest in Sub Pool 3
</TABLE>
Underwriters: Merrill Lynch, Pierce, Fenner & Smith
Incorporated, First Union Capital Markets
Depositor: Merrill Lynch Mortgage Investors, Inc.
Series: C-BASS Mortgage Loan Asset Backed
Certificates, Series 1999-CB2
Seller: Credit-Based Asset Servicing and
Securitization LLC (C-BASS)
Servicer: Litton Loan Servicing LP, an affiliate of
the Seller.
Trustee: The Chase Manhattan Bank
Collateral:
Sub-Pool 1: Fixed rate FHA/VA mortgage loans.
Sub-Pool 2: Fixed rate, conventional, one- to
four-family, first and second lien mortgage
loans.
Sub-Pool 3: Adjustable rate, conventional, one- to
four-family, first and second lien mortgage
loans.
Each of the Sub-Pools consists of
Performing Mortgage Loans, Sub-Performing
Mortgage Loans and Re-Performing Mortgage
Loans. See Page 13 for more information.
Prepayment Assumption: 15% CPR for Sub Pool 1, 25% CPR for
Sub-Pool 2 and 30% CPR for Sub-Pool 3.
Cut-off Date: May 1, 1999
Expected Settlement Date: On or about June 4, 1999
Distribution Dates: The 25th day of each month or, if such day
is not a business day, the next succeeding
business day, beginning on June 25, 1999.
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Offered Certificates: The Group 1 Certificates represent an
interest in the principal and interest
distributions of Sub-Pool 1. The Group 2
Certificates represent an interest in the
principal and interest distributions of
Sub-Pool 2 and Sub-Pool 3.
Registration: Holders of the Offered Certificates may
hold their interest in the Certificates
through DTC, Euroclear or Cedelbank
("CEDEL").
Optional Termination: The Seller may purchase all of the mortgage
loans in Sub-Pool 1 and retire the Group 1
Certificates when the current principal
balance of the mortgage loans in Sub-Pool 1
is less than 5% of the principal balance of
the mortgage loans in Sub-Pool 1 as of the
Cut-off Date.
The Seller may purchase all of the mortgage
loans in Sub-Pool 2 and Sub-Pool 3 and
retire the Group 2 Certificates when the
aggregate current principal balance of the
mortgage loans in Sub-Pool 2 and Sub-Pool 3
is less than 10% of the principal balance
of the mortgage loans in Sub-Pool 2 and
Sub-Pool 3 as of the Cut-off Date.
Advancing: The Servicer will be obligated to make
Monthly Advances of delinquent principal
and interest (to the extent deemed
recoverable).
Prepayment Interest Shortfalls: The Servicer will be obligated to pay from
its own funds Prepayment Interest
Shortfalls (but only to the extent of 50%
of its Servicing Fee for the related
Collection Period).
Servicing Fee: 0.375% for Sub-Pool 1, 0.50% for Sub-Pool 2
and Sub-Pool 3.
Trustee Fee: 0.01% per annum.
Special Servicing Fee: $150 per Mortgage Loan in Sub-Pool 2 and
Sub-Pool 3 that is 90 or more days
delinquent, payable monthly for eighteen
consecutive months commencing in the first
month after the Cut-off Date in which
payments on such Mortgage Loans are 90 or
more days delinquent, unless such Mortgage
Loans become less than 90 days delinquent.
The Special Servicing Fee will be
subordinate to cashflows to the offered
certificates.
Tax Status: REMIC
ERISA Eligibility: The Class 1A, 2A-1, and 2A-2 Certificates
will be ERISA eligible.
SMMEA Eligibility: The Class 1A and 1M-1 Certificates will
constitute "mortgage related securities"
for the purposes of SMMEA so long as they
are rated in one of the two highest rating
categories by a nationally recognized
statistical rating organization. The Class
1M-2, 1M-3, 2A-1, 2A-2, 2M-1, 2M-2 and 2B
Certificates will not constitute "mortgage
related 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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Group 1 Certificates:
- --------------------
Collateral: The Group 1 Certificates represent an
interest in the principal and interest
distributions of Sub-Pool 1.
Credit Enhancement: Group 1
Certificate Class Size Subordination
-----------------------------------------
Class 1A 96.00% 4.00%
Class 1M-1 0.75% 3.25%
Class 1M-2 0.50% 2.75%
Class 1M-3 0.50% 2.25%
Pass-Through Rate: The Pass-Through Rate on each class of
Group 1 Certificates (except for the Class
1A-IO and Class 1A-PO) will be equal to
7.00%.
Interest Accrual: For the Group 1 Certificates, interest will
accrue at the Pass-Through Rate during the
month immediately preceding the month in
which such Distribution Date occurs (settle
with 33 days accrued interest).
Principal Distributions: Collections of Principal before the
Step-down Date, or during a Trigger Event,
will be allocated in the following
priority:
1. During the first 60 months, a
pro-rata share of scheduled principal
and all unscheduled principal allocable
to the Class 1A Certificates, will be
paid until it is fully paid down.
2. All Group 1 Subordinated Certificates
will receive their pro rata share of
scheduled principal payments based on
their allocable percentages and
beginning in month 61, based on a
standard shifting interest schedule, a
scheduled amount of prepayments.
Application of Realized Losses: In general, loss protection is accomplished
by allocating realized losses to the
subordinated certificates, beginning with
the subordinated certificate with the
lowest payment priority, until the
principal amount of that subordinated
certificate has been reduced to zero.
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Group 2 Certificates:
- --------------------
Collateral: The Group 2 Offered Certificates represent
an interest in the principal and interest
distributions of Sub-Pool 2 and Sub-Pool 3.
Distribution to the Class 2A-1 and Class
2A-2 Certificates will be based on
collections from Sub Pool 2 and Sub Pool 3,
respectively.
Pass-Through Rate: The Pass-Through Rate on Class 2A-1 will be
the lesser of: i) the applicable LIBOR Rate
(1-month LIBOR plus the applicable
Pass-Through Margin), ii) the weighted
average of the mortgage rates in Sub Pool 2
and Sub Pool 3 minus the trustee and
servicer fee, and iii) the weighted average
mortgage rates in Sub Pool 2 minus the
trustee and servicer fee (the "Class 2A-1
Available Funds Pass-Through Rate").
The Pass-Through Rate on Class 2A-2 will be
the lesser of: i) the applicable LIBOR Rate
(1-month LIBOR plus the applicable
Pass-Through Margin), and ii) the weighted
average mortgage rates in Sub Pool 3 minus
the trustee and servicer fee (the "Class
2A-2 Available Funds Pass-Through Rate").
The Pass-Through Rate on Class 2M-1, Class
2M-2 and Class 2B will be equal to a fixed
rate, subject to the Net WAC Cap. The Net
WAC Cap will equal the weighted average of
the mortgage rates in Sub Pool 2 and Sub
Pool 3 minus the trustee and servicer fee.
LIBOR Carryover Amount: If on any Distribution Date, the
Pass-Through Rate on the Class 2A-2
Certificates is limited by the Class 2A-2
Available Funds Pass-Through Rate, the
Certificateholder will be entitled to
receive the excess of i) the interest
distributable had the Class 2A-2
Pass-Through Rate been based on the
applicable LIBOR Rate (but not more than
the weighted average maximum mortgage rate
on all Sub Pool 3 mortgage loans minus the
trustee and servicer fee), over ii) the
interest actually distributed based on the
Class 2A-2 Available Funds Pass-Through
Rate plus iii) interest thereon at the
applicable Pass-Through Rate.
Coupon Step Up: If the Optional Termination of the Group 2
Certificates is not exercised, the
Pass-Through Margin of the Class 2A-1 and
2A-2 Certificates will [double] and the
Pass-Through Rate on the Class 2M-1, 2M-2
and 2B Certificates will increase by 0.50%.
Credit Enhancement: Class 2A Credit Enhancement
1. Excess cash
2. Subordination of Class 2M-1, 2M-2, and
2B certificates, totaling 17.00% of
the original mortgage loan amount and
overcollateralization initially equal
to 4.00% of the original mortgage loan
amount and building to a target of
5.50% of the original mortgage loan
amount.
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Class 2M-1, 2M-2, and 2B Credit Enhancement
- -------------------------------------------
1. Excess cash
2. Class 2M-1 is enhanced by 10.50% in
subordinate certificates and
overcollateralization initially equal to
4.00% of the original mortgage loan
amount and building to a target of 5.50%
of the original mortgage loan amount.
3. Class 2M-2 is enhanced by 5.00% in
subordinate certificates and
overcollateralization initially equal to
4.00% of the original mortgage loan
amount and building to a target of 5.50%
of the original mortgage loan amount.
4. Class 2B is enhanced by
overcollateralization initially equal to
4.00% of the original mortgage loan
amount and building to a target of 5.50%
of the original mortgage loan amount.
Overcollateralization:
1. Before the step-down date, the
overcollateralization target is 5.50% of
the original mortgage loan amount
(subject to a Trigger Event).
2. On and after the step-down date, the
overcollateralization target is 11.00%
of the current aggregate mortgage loan
balance (subject to a Trigger Event).
3. The overcollateralization amount is
subject to a floor of 0.50% of the
original mortgage loan amount (subject
to a Trigger Event).
Application of Realized Losses: If the bonds outstanding exceed the
Mortgage Loans outstanding, the Class
Certificate Balance of the Class of
Subordinated Certificates then outstanding
with the highest numerical Class
designation (beginning with the Class 2B
Certificates) will be reduced by the amount
of such excess.
Class 2A Interest Accrual: Interest will accrue from the Distribution
Date in the month immediately preceding the
month in which such Distribution Date
occurs through the day before such
Distribution Date (or, in the case of the
first Distribution Date, from the Closing
Date).
Class 2M-1, 2M-2 and 2B
Interest Accrual: For the Class 2M-1, Class 2M-2 and Class 2B
interest will accrue at the Pass-Through
rate during the month immediately preceding
the month in which such Distribution Date
occurs (settle with 33 days accrued
interest).
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Interest Cashflow Priority:
1. to the Trustee;
2. to Class 2A Certificate holders, the
related accrued certificate plus the
Class A Interest Carry Forward Amount;
3. to the Class 2M-1 Certificate holders,
to the extent of the Interest Remittance
Amount then remaining, the related
Accrued Certificate Interest Amount;
4. to the Class 2M-2 Certificate holders,
to the extent of the Interest Remittance
Amount then remaining, the related
Accrued Certificate Interest Amount;
5. to the Class 2B Certificate holders, to
the extent of the Interest Remittance
Amount then remaining, the related
Accrued Certificate Interest Amount;
6. to the Monthly Excess Cashflow
Principal Cashflow Priority:
Distributions of principal to the Class 2A
Certificates described below will be paid
to the Class 2A-1 and Class 2A-2
Certificates, respectively, in the same
proportion as the Sub-Pool 2 and Sub-Pool 3
Principal Distribution Amounts.
o Collections of Principal before the
Step-down Date, or during a Trigger
Event, will be allocated in the
following priority:
1. to the Class 2A Certificate holders,
100% of the Principal Distribution
Amount until the Class 2A Certificate
Balance has been reduced to zero;
2. once the balance of the Class 2A
certificates has been reduced to zero,
the Holders of the subordinate
certificates will be entitled to receive
100% of the Principal Distribution
Amount (in sequential order 2M-1, 2M-2
and then 2B) until the Class Certificate
balance has been reduced to zero.
3. to Monthly Excess cashflow
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Principal Cashflow Priority (continued):
o Collections of principal on and after
the step-down date (and if no trigger
event is in effect) will be allocated in
the following priority:
1. Pay Class 2A, 2M-1, 2M-2, and 2B in
accordance with enhancement targets
equal to 2.0 times the enhancement for
each class:
Target Credit
Targeted % of Pool Enhancement
-----------------------------------
Class 2A 55.00% 45.00%
Class 2M-1 13.00% 32.00%
Class 2M-2 11.00% 21.00%
Class 2B 10.00% 11.00%
Overcollateralization 11.00%
100.00%
Monthly Excess Cashflow Priority
1. to fund the Class 2A Interest Carry
Forward Amount, if any;
2. to fund the Extra Principal Distribution
Amount for such Distribution Date to the
Class 2A-1 and Class 2A-2 Certificates,
respectively, in the same proportion as
the Sub Pool 2 and Sub Pool 3 Principal
Distribution Amount.
3. to fund the Class 2M-1 Interest Carry
Forward Amount, if any;
4. to fund the Class 2M-1 Realized Loss
Amortization Amount for such
Distribution Date;
5. to fund the Class 2M-2 Interest Carry
Forward Amount, if any.
6. to fund the Class 2M-2 Realized Loss
Amortization Amount for such
Distribution Date;
7. to fund the Class 2B Interest Carry
Forward Amount, if any;
8. to fund the Class 2B Realized Loss
Amortization Amount for such
Distribution Date;
9. to cover losses in Sub-Pool 1;
10. to fund the aggregate amount of LIBOR
Carryover Amount;
11. the Special Servicing Fee; and
12. to fund a distribution to the Holders
of the Residual 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.
- -------------------------------------------------------------------------------
<PAGE>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Step-down Date: The later to occur of (x) the Distribution
Date in June 2002 and (y) the first
Distribution Date on which the Senior
Enhancement Percentage (prior to taking
into account principal distributions on the
bonds and after taking into account
distributions of principal on the
collateral on such Distribution Date) is
greater than or equal to the Senior
Specified Enhancement Percentage.
Trigger Event: A Trigger Event has occurred on a
Distribution Date if the three- month
rolling average of 60+ Day Delinquent Loans
equals or exceeds [47%] of the Senior
Enhancement Percentage; provided, that if
the Class Certificate Balance of the Class
A Certificates has been reduced to zero, a
Trigger Event will have occurred if the
three-month rolling average of 60+ Day
Delinquent Loans equals or exceeds
[21.15%].
Senior Enhancement Percentage: For any Distribution Date is the percentage
obtained by dividing (x) the sum of (i) the
aggregate Class Certificate Balance of the
Subordinated Certificates and (ii) the
Overcollateralization Amount, by (y) the
Pool Principal Balance as of the last day
of the related Collection Period.
Senior Specified Enhancement
Percentage: On any date of determination thereof means
45.00%
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Average Life Sensitivity (to call)
<TABLE>
<CAPTION>
% of Prepayment Assumption
- ---------------------------------------------------------------------------------------------------------------------------
25% 50% 75% 100% 125% 150% 175%
- ---------------------------------------------------------------------------------------------------------------------------
Avg. Life (yrs.)
/Window (mos)
<S> <C> <C> <C> <C> <C> <C> <C>
Class 1A 12.11/1-295 8.75/1-270 6.55/1-231 5.06/1-190 4.05/1-157 3.33/1-132 2.80/1-112
Class 1A-IO 12.22/1-295 8.92/1-270 6.74/1-231 5.28/1-190 4.26/1-157 3.54/1-132 3.00/1-112
Class 1A-PO 12.35/1-295 8.94/1-270 6.73/1-231 5.26/1-190 4.25/1-157 3.53/1-132 2.99/1-112
Class 1M-1 14.90/1-295 13.01/1-270 11.52/1-231 10.32/1-190 9.36/1-157 8.57/1-132 7.84/1-112
Class 1M-2 14.90/1-295 13.01/1-270 11.52/1-231 10.32/1-190 9.36/1-157 8.57/1-132 7.84/1-112
Class 1M-3 14.90/1-295 13.01/1-270 11.52/1-231 10.32/1-190 9.36/1-157 8.57/1-132 7.84/1-112
Class 2A-1 7.74/1-255 4.75/1-167 3.26/1-116 2.37/1-86 1.70/1-67 1.17/1-35 0.96/1-29
Class 2A-2 7.39/1-255 4.00/1-167 2.61/1-116 1.81/1-86 1.21/1-67 0.93/1-30 0.76/1-24
Class 2M-1 15.09/99-255 9.26/54-167 6.31/37-116 4.97/42-86 4.82/49-67 4.13/35-54 2.61/29-35
Class 2M-2 15.09/99-255 9.26/54-167 6.31/37-116 4.86/40-86 4.31/43-67 4.33/47-54 3.50/35-44
Class 2B 15.09/99-255 9.26/54-167 6.31/37-116 4.80/38-86 4.09/39-67 3.83/41-54 3.64/43-44
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Life Sensitivity (to maturity)
% of Prepayment Assumption
- ---------------------------------------------------------------------------------------------------------------------------
25% 50% 75% 100% 125% 150% 175%
- ---------------------------------------------------------------------------------------------------------------------------
Avg. Life (yrs.)
/Window (mos)
<S> <C> <C> <C> <C> <C> <C> <C>
Class 1A 12.15/1-331 8.83/1-331 6.68/1-331 5.22/1-331 4.20/1-331 3.46/1-331 2.90/1-331
Class 1A-IO 12.26/1-311 9.01/1-311 6.88/1-311 5.45/1-311 4.44/1-311 3.70/1-311 3.15/1-311
Class 1A-PO 12.49/1-331 9.08/1-331 6.90/1-331 5.45/1-331 4.43/1-331 3.69/1-331 3.14/1-331
Class 1M-1 14.95/1-331 13.16/1-331 11.84/1-331 10.85/1-331 10.10/1-331 9.50/1-331 9.03/1-331
Class 1M-2 14.95/1-331 13.16/1-331 11.84/1-331 10.85/1-331 10.10/1-331 9.50/1-331 9.03/1-331
Class 1M-3 14.95/1-331 13.16/1-331 11.84/1-331 10.85/1-331 10.10/1-331 9.50/1-331 9.03/1-331
Class 2A1 8.03/1-346 5.14/1-313 3.60/1-246 2.65/1-189 1.93/1-152 1.17/1-35 0.96/1-29
Class 2A2 7.58/1-333 4.08/1-229 2.65/1-150 1.83/1-103 1.21/1-71 0.93/1-30 0.76/1-24
Class 2M-1 15.80/99-338 10.05/54-284 6.96/37-213 5.50/42-165 5.23/49-130 5.89/35-123 2.61/29-35
Class 2M-2 15.78/99-333 10.00/54-269 6.92/37-198 5.35/40-153 4.69/43-120 4.72/47-97 5.30/35-102
Class 2B 15.72/99-323 9.88/54-248 6.83/37-179 5.22/38-138 4.42/39-108 4.09/41-87 4.16/43-72
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Class 2A-2 Excess Spread Analysis (under pricing scenario)
Available Funds Excess
Period Cap Rate (1) Spread Available(1)
------ ------------ -------------------
1 8.91% 3.64%
2 8.96 3.69
3 9.09 3.82
4 9.09 3.82
5 9.13 3.86
6 9.14 3.87
7 9.14 3.87
8 9.15 3.88
9 9.22 3.95
10 9.22 3.95
11 9.22 3.95
12 9.22 3.95
13 9.28 4.01
14 9.38 4.11
15 9.48 4.21
16 9.56 4.29
17 9.69 4.42
18 9.80 4.53
19 9.88 4.61
20 9.90 4.63
21 9.90 4.63
22 9.90 4.63
23 9.95 4.68
24 9.95 4.68
25 9.95 4.68
26 9.95 4.68
27 9.95 4.68
28 9.95 4.68
29 9.95 4.68
30 9.95 4.68
31 9.95 4.68
32 9.95 4.68
33 9.95 4.68
34 9.95 4.68
35 9.95 4.68
36 9.95 4.68
(1) Assumes 1 month LIBOR=4.92%, 6 month LIBOR=5.14%, 1 year CMT=4.92%, Class
2A-2 Margin = 0.35%, Expenses = 0.51% for Sub-Pool 3.
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Collateral Overview
The Mortgage Pool will consist of three sub-pools (Sub-Pool 1, Sub-Pool 2 and
Sub-Pool 3). The Mortgage Loans in Sub-Pool 1 are fixed rate FHA/VA mortgage
loans. The Mortgage Loans in Sub-Pool 2 are fixed rate, conventional, one- to
four-family, first and second lien mortgage loans. The Mortgage Loans in
Sub-Pool 3 are adjustable rate, conventional, one- to four-family, first and
second lien mortgage loans. Each of Sub-Pool 1, Sub-Pool 2 and Sub-Pool 3
consists of Performing Mortgage Loans, Sub-Performing Mortgage Loans and
Re-Performing Mortgage Loans.
Performing Mortgage Loans
"Performing Mortgage Loan" is a Mortgage Loan (which might be a Forbearance
Plan Mortgage Loan or a Bankruptcy Plan Mortgage Loan) pursuant to which no
payment due under the related mortgage note (or any modification thereto)
prior to the Cut-off Date, is 30 days Delinquent.
Sub-Performing Mortgage Loan
"Sub-Performing Mortgage Loan" is a Mortgage Loan pursuant to which a payment
due prior to the Cut-off Date under the terms of the related mortgage note (or
any modification thereto), is at least 30 but not more than 89 days
Delinquent. Certain Sub-Performing Mortgage Loans have been modified in
writing and are also characterized as follows:
Re-Performing Mortgage Loan
A "Re-Performing Mortgage Loan" is a Mortgage Loan (that might be a
Forbearance Plan Mortgage Loan or a Bankruptcy Plan Mortgage Loan) which had
defaulted in the past and which is currently at least 90 days Delinquent with
respect to certain Regular Scheduled Payments but which satisfies one of the
following criteria (the "Re-Performance Test"):
(i) the mortgagor has made at least three aggregate
Regular Scheduled Payments in the three calendar
months preceding the Cut-off Date (regardless of
either the timing of receipt of such payments or the
payment history of such loans prior to April 1, 1999),
or
(ii) the mortgagor has made at least four aggregate
Regular Scheduled Payments in the four calendar months
preceding the Cut-off Date (regardless of either the
timing of receipt of such payments or the payment
history of such loans prior to March 1, 1999), or
(iii) the mortgagor has made at least five aggregate
Regular Scheduled Payments in the five calendar months
preceding the Cut-off Date (regardless of either the
timing of receipt of such payments or the payment
history of such loans prior to February 1, 1999).
Forbearance Plan Mortgage Loan
"Forbearance Plan Mortgage Loan" is a Mortgage Loan in which the related
mortgagor must make monthly payments ("Modified Scheduled Payments") in an
amount at least equal to the sum of (i) the amount of the monthly scheduled
payment of principal and interest determined in accordance with such mortgage
loan's original amortization schedule ("Regular Scheduled Payments") plus (ii)
an additional amount to be applied to pay down the total amount of scheduled
monthly payments due thereon on or before the Cut-off Date but not received
prior to the Cut-off Date plus the aggregate amount of tax and insurance
advances made with respect to such Mortgage Loan to the extent remaining
outstanding as of the Cut-off Date.
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Bankruptcy Plan Mortgage Loan
"Bankruptcy Plan Mortgage Loan" is a Mortgage Loan in which the related
mortgagor defaulted and, after default, became the subject of a case under
Title 11 of the United States Code (the "Bankruptcy Code") and, as of the
Cut-off Date, had a confirmed bankruptcy plan. Each such bankruptcy plan
generally requires the related mortgagor to make Modified Scheduled Payments
in an amount at least equal to (i) the Regular Scheduled Payment plus (ii) an
additional amount sufficient to pay down overdue amounts resulting from the
period of default, generally over a period of three to five years from the
commencement of such bankruptcy plan.
Arrearage
With respect to certain Delinquent Mortgage Loans, the total amount of
scheduled monthly payments due thereon on or before the Cut-off Date but not
received prior to the Cut-off Date, together with any outstanding servicing
advances on such Mortgage Loans, is referred to as the "Arrearage." The
Servicer has previously made advances in respect of the Arrearages. Any
Arrearage shall not be included as part of the Trust Fund and, accordingly,
payments with respect to Arrearage will not be payable to the
Certificateholders as and when received. However, the Servicer shall be
required to make servicing advances on Delinquent Mortgage Loans and make
advances of delinquent payments of principal and interest on Delinquent
Mortgage Loans, each to the extent such advances are deemed recoverable, until
such Mortgage Loans become current.
FHA Mortgage Loans
The FHA Mortgage Loans will be insured by the Federal Housing Administration
("FHA") of the United States Department of Housing and Urban Development
("HUD") as authorized under the National Housing Act of 1934, as amended (the
"National Housing Act"), and the United States Housing Act of 1937, as amended
(the "United States Housing Act"). No FHA Mortgage Loan may have an interest
rate or original principal amount exceeding the applicable FHA limits at the
time of origination of such FHA Mortgage Loan.
VA Mortgage Loans
The VA Mortgage Loans will be partially guaranteed by The United States
Department of Veterans Affairs (the "VA") under the Servicemen's Readjustment
Act of 1944, as amended. The Servicemen's Readjustment Act of 1944, as
amended, permits a veteran (or in certain instances the spouse of a veteran)
to obtain a mortgage loan guarantee by the VA covering mortgage financing of
the purchase of a one- to four-family dwelling unit at interest rates
permitted by the VA. The program has a current mortgage loan limit of
$203,000, requires no down payment from the purchaser and permits the
guarantee of mortgage loans of generally up to 30 years' duration. However, no
VA Mortgage Loan will have an original principal amount greater than five
times the amount of the related guarantee.
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Mortgage Loan Characteristics
Sub-Pool 1 - FHA/VA
The following summarizes the characteristics of the Mortgage Loans
(percentages are based on the aggregate Principal Balances as of 5/1/99
cut-off date). The characteristics of the Mortgage Loans in the Prospectus
Supplement may differ than the characteristics below.
<TABLE>
<S> <C> <C>
Aggregate Current Principal Balance: $147,913,418
Average Outstanding Principal Balance: $72,153
Range of Outstanding Principal Balances: $1,367 to $278,075
Average Original Principal Balance:
75,901
Range of Original Principal Balances: $9,700 to $280,011
Loans With Prepayment Penalties: 0.02%
FHA Mortgage Loans: 73.69%
VA Mortgage Loans: 26.31%
Sub-Prime Loans 0.00%
Performing Loans 40.02%
Sub-Performing Loans 33.47%
Sub-Performing Loans that are Forbearance Plan Loans 3.70%
Sub-Performing Loans that are Bankruptcy Plan Loans 2.79%
Re-Performing Loans 26.51%
Re-Performing Loans that are Forbearance Plan Loan 0.73%
Re-Performing Loans that are Bankruptcy Plan Loan 13.29%
Weighted Average Loan Rate: 8.567%
Range of Loan Rates: 6.875% to 15.50%
Weighted Average LTV: 98.52%
Weighted Average Original Term to Maturity: 357
Weighted Average Remaining Term to Stated Maturity: 311
Balloon Loans 0.01%
Second Liens 6.94%
Max Zip Code Concentration (%) 0.60%
Max Zip Code Concentration (zip) 20735
Geographic Concentrations in Excess of 5%:
California 21.30%
New York 10.27%
Texas 8.89%
Florida 6.19%
New Jersey 5.06%
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Mortgage Loan Characteristics
Sub-Pool 2 - Fixed
The following summarizes the characteristics of the Mortgage Loans
(percentages are based on the aggregate Actual Principal Balances as of 5/1/99
cut-off date). The characteristics of the Mortgage Loans in the Prospectus
Supplement may differ than the characteristics below.
<TABLE>
<S> <C>
Aggregate Current Principal Balance: $107,542,175
Average Outstanding Principal Balance: $84,812
Range of Outstanding Principal Balances: $1,755 to $701,425
Average Original Principal Balance: $86,430
Range of Original Principal Balances: $4,000 to $715,000
Loans With Prepayment Penalties: 23.72%
Sub-Prime Loans 37.23%
Performing Loans 90.18%
Sub-Performing Loans 8.42%
Sub-Performing Loans that are Forbearance Plan Loans 0.10%
Sub-Performing Loans that are Bankruptcy Plan Loans 0.00%
Re-Performing Loans 1.41%
Re-Performing Loans that are Forbearance Plan Loan 0.04%
Re-Performing Loans that are Bankruptcy Plan Loan 1.08%
Weighted Average Loan Rate: 9.332%
Range of Loan Rates: 5.00% to 21.00%
Weighted Average Combined LTV: 78.25%
Weighted Average Original Term to Maturity: 312
Weighted Average Remaining Term to Stated Maturity: 299
Balloon Loans 10.25%
Max Zip Code Concentration (%) 1.09%
Max Zip Code Concentration (zip) 99301
Geographic Concentrations in Excess of 5%:
California 28.97%
Florida 11.36%
Washington 7.43%
Texas 5.69%
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Mortgage Loan Characteristics
Sub-Pool 3 - ARMS
The following summarizes the characteristics of the Mortgage Loans
(percentages are based on the aggregate Actual Principal Balances as of 5/1/99
cut-off date). The characteristics of the Mortgage Loans in the Prospectus
Supplement may differ than the characteristics below.
<TABLE>
<S> <C>
Aggregate Current Principal Balance: $54,440,615
Average Outstanding Principal Balance: $105,916
Range of Outstanding Principal Balances: $482 to $816,005
Average Original Principal Balance: $107,987.20
Range of Original Principal Balances: $19,200 to $825,000
Loans With Prepayment Penalties: 42.52%
Index
6ML 73.18%
1 YR CMT 26.02%
Other 0.80%
Mortgage Interest Rates by Index
6ML 10.17%
1 YR CMT 7.33%
Other 8.62%
Gross Margin Weighted Avg by Index
6ML 6.38%
1 YR CMT 2.73%
Other 3.69%
FHA Mortgage Loans: 20.04%
VA Mortgage Loans: 1.53%
Sub-Prime Loans 66.52%
Performing Loans 76.37%
Sub-Performing Loans 19.77%
Sub-Performing Loans that are Forbearance Plan Loans 2.60%
Sub-Performing Loans that are Bankruptcy Plan Loans 0.81%
Re-Performing Loans 3.85%
Re-Performing Loans that are Forbearance Plan Loan 0.19%
Re-Performing Loans that are Bankruptcy Plan Loan 2.09%
Weighted Average Loan Rate: 9.42%
Range of Loan Rates: 5.38%-14.30%
Weighted Average LTV: 80.10%
Weighted Average Original Term to Maturity: 358
Weighted Average Remaining Term to Stated Maturity: 340
Weighted Average Maximum Loan Rate: 15.52%
Range of Maximum Loan Rates: 0.00% - 21.30%
Weighted Average Minimum Loan Rate: 8.24%
Range of Minimum Loan Rates 0.00%-14.30%
Weighted Average Initial Rate Adjustment Cap: 1.73%
Range of Initial Rate Adjustment Caps: 0.00% - 7.00%
Weighted Average Periodic Rate Adjustment Cap: 1.26%
Range of Periodic Rate Adjustment Caps 0.00% - 3.00%
Weighted Average Months to Next Roll: 11.98
Range of Months to Next Roll: 1 - 50
Weighted Average Interest Roll Frequency: 8
Max Zip Code Concentration (%) 1.50%
Max Zip Code Concentration (zip) 94506
Geographic Concentrations in Excess of 5%:
California 21.14%
Florida 12.94%
Illinois 9.47%
New Jersey 6.53%
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Cut-off Date Principal Balances of the FHA/VA Mortgage Loans (1)
Number of Principal Balance % of Aggregate Principal Balance of
Mortgage Outstanding as of Loan Group Outstanding as of
Principal Balance ($) Loans the Cut-off Date the Cut-off Date
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1,367 - 50,000 582 20,439,129 13.82
50,001 - 100,000 1,078 76,584,395 51.78
100,001 - 150,000 316 37,941,150 25.65
150,001 - 200,000 66 11,109,872 7.51
200,001 - 250,000 6 1,299,142 0.88
250,001 - 278,075 2 539,729 0.36
------------------------------------------------------------------------------
Total.................... 2,050 $147,913,418 100.00%
==============================================================================
- ---------------
(1) The average Cut-off Date Principal Balance of the FHA/VA Mortgage Loans was approximately $72,153.
</TABLE>
<TABLE>
<CAPTION>
Original Terms to Maturity of the FHA/VA Mortgage Loans(1)
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Original Term (months) Loans the Cut-off Date Cut-off Date
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
120 - 120 1 52,075 0.04
121 - 180 41 1,591,692 1.08
181 - 240 16 660,542 0.45
241 - 300 18 1,025,118 0.69
301 - 360 1,974 144,583,991 97.75
------------------------------------------------------------------------------
Total............. 2,050 $147,913,418 100.00%
==============================================================================
- --------------------
(1) The weighted average original term of the FHA/VA Mortgage Loans was approximately 357 months.
</TABLE>
<TABLE>
<CAPTION>
Property Types of the FHA/VA Mortgage Loans
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Property Type Loans the Cut-off Date Cut-off Date
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Single Family Detached 1,756 128,134,422 86.63
Four Family 198 11,696,071 7.91
Two Family 33 2,877,352 1.95
Condominium 25 1,740,355 1.18
PUD (1) 13 1,358,214 0.92
Three Family 9 827,817 0.56
Townhouse 9 654,329 0.44
Mixed Use 2 394,492 0.27
Manufactured Home 5 230,368 0.16
--------------------------------------------------------------------------------------
Total............ 2,050 $147,913,418 100.00%
======================================================================================
- --------------------
(1) PUD refers to a Planned Unit Development.
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Occupancy Status of the FHA/VA Mortgage Loans
Principal Balance % of Aggregate Principal Balance of
Number Outstanding as of Loan Group Outstanding as of the
Occupancy Status of Mortgage Loans the Cut-off Date Cut-off Date
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Primary 1,982 143,417,803 96.96
Investment 68 4,495,615 3.04
---------------------------------------------------------------------------------------------
Total................ 2,050 $147,913,418 100.00%
=============================================================================================
</TABLE>
<TABLE>
<CAPTION>
Purpose of the FHA/VA Mortgage Loans
Principal Balance % of Aggregate Principal Balance of
Number Outstanding as of Loan Group Outstanding as of the
Purpose of Mortgage Loans the Cut-off Date Cut-off Date
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Purchase 1,777 123,515,655 83.51
Rate/Term Refinance 254 22,798,964 15.41
Cashout 19 1,598,799 1.08
----------------------------------------------------------------------------------------
Total.................... 2,050 $147,913,418 100.00%
========================================================================================
</TABLE>
<TABLE>
<CAPTION>
Loan Rates of the FHA/VA Mortgage Loans(1)
Principal Balance % of Aggregate Principal Balance of
Number Outstanding as of Loan Group Outstanding as of the
Loan Rate (%) of Mortgage Loans the Cut-off Date Cut-off Date
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6.88 - 7.00 26 2,720,080 1.84
7.01 - 7.50 102 8,620,685 5.83
7.51 - 8.00 584 48,117,230 32.53
8.01 - 8.50 585 43,142,115 29.17
8.51 - 9.00 264 18,186,730 12.30
9.01 - 9.50 233 14,206,843 9.60
9.51 - 10.00 97 5,668,683 3.83
10.01 - 10.50 85 4,383,657 2.96
10.51 - 11.00 10 556,077 0.38
11.01 - 11.50 19 718,071 0.49
11.51 - 12.00 16 601,902 0.41
12.01 - 12.50 8 311,270 0.21
12.51 - 13.00 9 246,765 0.17
13.01 - 13.50 5 210,397 0.14
13.51 - 14.00 4 139,219 0.09
15.01 - 15.50 3 83,695 0.06
----------------------------------------------------------------------------------------
Total..................... 2,050 $147,913,418 100.00%
========================================================================================
- ------------------
(1) The weighted average Loan Rate of the FHA/VA Mortgage Loans as of the Cut-off Date was approximately 8.567% per annum.
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Original Loan-to-Value Ratios of the FHA/VA Mortgage Loans(1)
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Original Loan-to-Value Ratio (%) Loans the Cut-off Date Cut-off Date
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
0.00 - 10.00 639 47,166,042 31.89
20.01 - 30.00 3 34,381 0.02
30.01 - 40.00 3 81,193 0.05
40.01 - 50.00 2 55,866 0.04
50.01 - 60.00 8 295,287 0.20
60.01 - 70.00 8 427,812 0.29
70.01 - 80.00 20 1,222,541 0.83
80.01 - 90.00 73 4,799,888 3.25
90.01 - 100.00 762 57,886,688 39.14
100.01 - 110.00 515 34,793,773 23.52
110.01 - 120.00 13 882,435 0.60
120.01 - 124.34 4 267,512 0.18
----------------------------------------------------------------------------------------
Total..................... 2,050 $147,913,418 100.00%
========================================================================================
- ------------------
(1) The weighted average original Loan-to-Value Ratio of the FHA/VA Mortgage Loans as of the Cut-off Date was
approximately 98.53%.
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Geographic Distribution of the FHA/VA Mortgaged Properties(1)
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Location Loans the Cut-off Date Cut-off Date
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alabama 15 785,920 0.53
Alaska 1 44,600 0.03
Arizona 31 2,141,678 1.45
Arkansas 32 1,699,292 1.15
California 324 31,502,835 21.30
Colorado 20 1,717,107 1.16
Connecticut 14 1,416,890 0.96
Delaware 2 145,447 0.10
District Of Columbia 6 555,975 0.38
Florida 145 9,148,642 6.19
Georgia 55 3,567,042 2.41
Idaho 4 282,635 0.19
Illinois 75 5,405,004 3.65
Indiana 29 1,474,398 1.00
Iowa 2 70,262 0.05
Kansas 7 391,746 0.26
Kentucky 6 247,380 0.17
Louisiana 17 868,972 0.59
Maine 5 379,628 0.26
Maryland 67 6,663,016 4.50
Massachusetts 24 2,183,403 1.48
Michigan 84 5,284,961 3.57
Minnesota 14 915,527 0.62
Mississippi 10 546,525 0.37
Missouri 38 2,203,742 1.49
Montana 9 734,862 0.50
Nebraska 6 247,321 0.17
Nevada 38 3,184,327 2.15
New Hampshire 8 750,213 0.51
New Jersey 85 7,477,639 5.06
New Mexico 5 347,122 0.23
New York 204 15,195,853 10.27
North Carolina 33 2,300,743 1.56
Ohio 53 2,884,990 1.95
Oklahoma 18 880,689 0.60
Oregon 9 846,898 0.57
Pennsylvania 77 4,646,094 3.14
Rhode Island 6 484,687 0.33
South Carolina 8 417,574 0.28
South Dakota 1 52,162 0.04
Tennessee 84 5,199,342 3.52
Texas 250 13,155,610 8.89
Utah 10 815,134 0.55
Virginia 48 3,312,111 2.24
Washington 38 3,522,017 2.38
West Virginia 11 754,183 0.51
Wisconsin 22 1,061,217 0.72
--------------------------------------------------------------------------
Total.............. 2,050 $147,913,418 100.00%
==========================================================================
- --------------------
(1) The greatest ZIP Code geographic concentration of FHA/VA Mortgage Loans, by Cut-off Date Principal Balance, was
approximately 0.60% in the 20735 ZIP Code.
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Documentation Level of the FHA/VA Mortgage Loans(1)
Principal Balance % of Aggregate Principal Balance of
Number Outstanding as of Loan Group Outstanding as of the
Documentation Level of Mortgage Loans the Cut-off Date Cut-off Date
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alternate Documentation 66 4,519,266 3.06
Full Documentation 1,737 120,946,169 81.77
Limited Documentation 246 22,330,514 15.10
No Documentation 1 117,468 0.08
----------------------------------------------------------------------------------
Total................... 2,050 $147,913,418 100.00%
==================================================================================
- --------------------
(1) For a description of each documentation level, see "The Seller - Underwriting Standards" herein.
</TABLE>
<TABLE>
<CAPTION>
Status of the FHA/VA Mortgage Loans
Principal Balance % of Aggregate Principal Balance of
Number Outstanding as of Loan Group Outstanding as of the
Status of Mortgage Loans the Cut-off Date Cut-off Date
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CURRENT 796 59,192,554 40.02
30DPD 383 28,801,202 19.47
60DPD 279 20,713,384 14.00
REPERF 592 39,206,278 26.51
--------------------------------------------------------------------------------
Total........................ 2,050 $147,913,418 100.00%
================================================================================
</TABLE>
<TABLE>
<CAPTION>
Cut-off Date Principal Balances of the Fixed Rate Mortgage Loans(1)
Principal Balance % of Aggregate Principal Balance of
Number of Outstanding as of Loan Group Outstanding as of
Principal Balance ($) Mortgage Loans the Cut-off Date the Cut-off Date
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1,755 - 50,000 552 16,659,693 15.49
50,001 - 100,000 359 25,482,792 23.70
100,001 - 150,000 158 19,424,331 18.06
150,001 - 200,000 104 17,828,936 16.58
200,001 - 250,000 38 8,651,833 8.05
250,001 - 300,000 27 7,384,333 6.87
300,001 - 350,000 13 4,221,815 3.93
350,001 - 400,000 3 1,119,259 1.04
400,001 - 450,000 6 2,532,032 2.35
450,001 - 500,000 6 2,867,247 2.67
650,001 - 700,000 1 668,479 0.62
700,001 - 701,425 1 701,425 0.65
---------------------------------------------------------------------------------
Total................... 1,268 $107,542,175 100.00%
=================================================================================
- ----------------------
(1) The average Cut-off Date Principal Balance of the Fixed Mortgage Loans was approximately $84,812.
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Original Terms to Maturity of the Fixed Rate Mortgage Loans(1)
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Original Term (months) Loans the Cut-off Date Cut-off Date
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
24 - 60 13 490,921 0.46
61 - 120 54 1,740,560 1.62
121 - 180 362 19,862,178 18.47
181 - 240 100 4,091,078 3.80
241 - 300 51 6,261,208 5.82
301 - 360 687 75,072,829 69.81
421 - 480 1 23,401 0.02
--------------------------------------------------------------------------------------
Total..................... 1,268 $107,542,175 100.00%
======================================================================================
- --------------------
(1) The weighted average original term of the Fixed Mortgage Loans was approximately 312 months.
</TABLE>
<TABLE>
<CAPTION>
Property Types of the Fixed Rate Mortgage Loans
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Property Type Loans the Cut-off Date Cut-off Date
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Single Family Detached 1,085 93,314,423 86.77
Two Family 38 3,877,935 3.61
Condominium 44 3,275,476 3.05
PUD (1) 29 2,653,203 2.47
Manufactured Home 47 2,250,478 2.09
Four Family 10 954,707 0.89
Three Family 6 622,154 0.58
Townhouse 6 362,478 0.34
Mixed Use 1 142,339 0.13
Multi Family 2 88,981 0.08
-----------------------------------------------------------------------------------
Total................... 1,268 $107,542,175 100.00%
=====================================================================================
- --------------------
(1) PUD refers to a Planned Unit Development.
</TABLE>
<TABLE>
<CAPTION>
S
Occupancy Status of the Fixed Rate Mortgage Loans
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Occupancy Status Loans the Cut-off Date Cut-off Date
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Primary 1,135 97,917,764 91.05
Investment 126 8,829,661 8.21
Second Home 7 794,749 0.74
--------------------------------------------------------------------------------------
Total............... 1,268 $107,542,175 100.00%
======================================================================================
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Purpose of the Fixed Rate Mortgage Loans
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Purpose Loans the Cut-off Date Cut-off Date
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Purchase 656 53,331,062 49.59
Rate/Term Refinance 235 27,836,804 25.88
Cashout 377 26,374,309 24.52
------------------------------------------------------------------------------------
Total................. 1,268 $107,542,175 100.00%
====================================================================================
</TABLE>
<TABLE>
<CAPTION>
Current Loan Rates of the Fixed Rate Mortgage Loans (1)
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Current Loan Rate (%) Loans the Cut-off Date Cut-off Date
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
5.00 - 5.50 3 84,056 0.08
5.51 - 6.00 4 283,714 0.26
6.01 - 6.50 25 3,373,087 3.14
6.51 - 7.00 65 8,199,607 7.62
7.01 - 7.50 83 10,692,881 9.94
7.51 - 8.00 76 9,346,647 8.69
8.01 - 8.50 119 13,035,486 12.12
8.51 - 9.00 87 8,802,491 8.19
9.01 - 9.50 73 7,127,162 6.63
9.51 - 10.00 149 10,957,876 10.19
10.01 - 10.50 120 10,023,229 9.32
10.51 - 11.00 101 7,179,758 6.68
11.01 - 11.50 71 4,710,563 4.38
11.51 - 12.00 89 5,577,940 5.19
12.01 - 12.50 43 2,394,458 2.23
12.51 - 13.00 43 2,178,657 2.03
13.01 - 13.50 17 572,428 0.53
13.51 - 14.00 46 1,543,783 1.44
14.01 - 14.50 14 413,115 0.38
14.51 - 15.00 15 455,348 0.42
15.01 - 15.50 10 274,617 0.26
15.51 - 16.00 6 113,324 0.11
16.01 - 16.50 1 19,286 0.02
16.51 - 17.00 2 45,240 0.04
17.51 - 18.00 5 118,319 0.11
20.51 - 21.00 1 19,102 0.02
------------------------------------------------------------------------------------
Total..................... 1,268 $107,542,175 100.00%
====================================================================================
(1) The weighted average Loan Rate of the Fixed Rate Mortgage Loans as of the
Cut-off Date was approximately 9.332% per annum.
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Geographic Distribution of the Fixed Rate Mortgaged Properties(1)
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Location Loans the Cut-off Date Cut-off Date
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alabama 41 2,110,341 1.96
Alaska 3 293,131 0.27
Arizona 27 1,414,935 1.32
Arkansas 2 91,876 0.09
California 242 31,156,208 28.97
Colorado 27 2,348,481 2.18
Connecticut 16 736,669 0.69
Delaware 1 24,188 0.02
Florida 188 12,221,757 11.36
Georgia 32 2,344,423 2.18
Hawaii 20 3,013,485 2.80
Idaho 2 39,449 0.04
Illinois 12 1,131,086 1.05
Indiana 20 1,333,905 1.24
Iowa 2 366,495 0.34
Kansas 2 73,573 0.07
Kentucky 13 786,249 0.73
Louisiana 34 3,743,858 3.48
Maryland 13 1,537,382 1.43
Massachusetts 6 464,106 0.43
Michigan 22 1,089,947 1.01
Minnesota 4 326,436 0.30
Mississippi 15 581,545 0.54
Missouri 31 1,190,904 1.11
Montana 1 29,321 0.03
Nebraska 1 45,256 0.04
Nevada 9 938,233 0.87
New Hampshire 2 83,164 0.08
New Jersey 31 3,275,918 3.05
New Mexico 7 542,787 0.50
New York 37 4,942,586 4.60
North Carolina 38 2,035,861 1.89
Ohio 35 2,265,801 2.11
Oklahoma 36 1,430,994 1.33
Oregon 26 2,675,235 2.49
Pennsylvania 20 1,335,363 1.24
Rhode Island 3 347,507 0.32
South Carolina 12 916,378 0.85
Tennessee 45 2,807,550 2.61
Texas 102 6,118,013 5.69
Utah 2 239,635 0.22
Virginia 4 534,445 0.50
Washington 77 7,987,537 7.43
Wisconsin 4 248,729 0.23
Wyoming 1 321,429 0.30
----------------------------------------------------------------------
Total................... 1,268 $107,542,175 100.00%
======================================================================
- -------------------
(1) The greatest ZIP Code geographic concentration of the Fixed Rate Mortgage
Loans, by Fixed Rate Mortgage Loan Balance as of the Cut-off Date, was
approximately 1.09% in the 99301 ZIP Code.
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Documentation Levels of the Fixed Rate Mortgage Loans(1)
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Documentation Level Loans the Cut-off Date Cut-off Date
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alternate Documentation 255 20,279,296 18.86
Full Documentation 510 47,129,232 43.82
Limited Documentation 198 24,600,585 22.88
No Documentation 302 15,214,874 14.15
Stated Documentation 3 318,187 0.30
------------------------------------------------------------------------------
Total...................... 1,268 $107,542,175 100.00%
==============================================================================
- --------------------
(1) For a description of each documentation level, see "The Seller -
Underwriting Standards" herein.
</TABLE>
<TABLE>
<CAPTION>
Combined Loan-to-Value of the Fixed Rate Mortgage Loans
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Combined Loan-to Value (%) Loans the Cut-off Date Cut-off Date
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
13.89 - 20.00 3 59,546 0.06
20.01 - 30.00 12 704,767 0.66
30.01 - 40.00 13 886,203 0.82
40.01 - 50.00 23 1,786,656 1.66
50.01 - 60.00 36 3,603,439 3.35
60.01 - 70.00 110 10,053,033 9.35
70.01 - 80.00 391 38,738,041 36.02
80.01 - 90.00 286 23,304,277 21.67
90.01 - 100.00 365 26,899,298 25.01
100.01 - 110.00 24 1,239,339 1.15
110.01 - 120.00 2 208,356 0.19
120.01 - 130.00 2 42,238 0.04
130.01 - 138.82 1 16,982 0.02
-----------------------------------------------------------------------------
Total...................... 1,268 107,542,175 100.00
=============================================================================
</TABLE>
<TABLE>
<CAPTION>
Status of the Fixed Rate Mortgage Loans
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Status Loans the Cut-off Date Cut-off Date
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CURRENT 1,125 96,980,445 90.18
30DPD 91 6,792,835 6.32
60DPD 34 2,255,543 2.10
REPERF 18 1,513,352 1.41
------------------------------------------------------------------------------
Total................. 1,268 $107,542,175 100.00%
==============================================================================
</TABLE>
- -------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
- -------------------------------------------------------------------------------
<PAGE>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Cut-off Date Principal Balances of the Adjustable Rate Mortgage Loans(1)
Number Principal Balance % of Aggregate Principal Balance
of Mortgage Outstanding as of of Loan Group Outstanding as of
Principal Balance ($) Loans the Cut-off Date the Cut-off Date
------------------------------------- --------------- -------------------- ------------------------------------
<S> <C> <C> <C> <C> <C>
482 - 50,000 73 $2,793,122 5.13%
50,001 - 100,000 246 18,138,081 33.32
100,001 - 150,000 125 15,074,813 27.69
150,001 - 200,000 27 4,725,734 8.68
200,001 - 250,000 14 3,163,427 5.81
250,001 - 300,000 13 3,566,198 6.55
300,001 - 350,000 5 1,602,733 2.94
350,001 - 400,000 4 1,493,165 2.74
400,001 - 450,000 2 869,823 1.60
450,001 - 500,000 2 994,763 1.83
500,001 - 550,000 1 506,997 0.93
650,001 - 700,000 1 695,756 1.28
800,001 - 816,005 1 816,005 1.50
=============== ==================== ====================================
Total........................... 514 $ 54,440,615 100.00%
=============== ==================== ====================================
- ----------------------
(1) The average Cut-off Date Principal Balance of the Adjustable Rate Mortgage Loans was approximately
$105,916
</TABLE>
<TABLE>
<CAPTION>
Original Terms to Maturity of the Adjustable Rate Mortgage Loans(1)
Number Principal Balance % of Aggregate Principal Balance
of Mortgage Outstanding as of of Loan Group Outstanding as of
Original Term (months) Loans the Cut-off Date the Cut-off Date
- ------------------------------- --------------- -------------------------- ------------------------------------
<S> <C> <C> <C> <C> <C>
180 - 180 6 467,044 0.86
181 - 240 1 25,765 0.05
241 - 300 3 133,047 0.24
301 - 360 504 53,814,759 98.85
--------------- -------------------------- ------------------------------------
Total..................... 514 $ 54,440,615 100.00%
=============== ========================== ====================================
- --------------------
(1) The weighted average original term of the Adjustable Rate Mortgage Loans was approximately 358 months.
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Property Types of the Adjustable Rate Mortgage Loans
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Property Type Loans the Cut-off Date Cut-off Date
- ------------------------------- --------------- ------------------------- -------------------------------------
<S> <C> <C> <C>
Single Family Detached 433 45,706,210 83.96
Two Family 21 2,507,234 4.61
PUD 19 2,429,848 4.46
Condominium 23 1,875,657 3.45
Townhouse 3 692,375 1.27
Manufactured Home 8 509,183 0.94
Three Family 3 477,319 0.88
Four Family 3 195,001 0.36
Cooperative 1 47,787 0.09
=============== ========================= =====================================
Total..................... 514 $ 54,440,615 100.00%
=============== ========================= =====================================
</TABLE>
- --------------------
(1) PUD refers to a Planned Unit Development.
Occupancy Status of the Adjustable Rate Mortgage Loans
<TABLE>
<CAPTION>
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Occupancy Status Loans the Cut-off Date Cut-off Date
- ------------------------------- ----------------- ------------------------- -------------------------------------
<S> <C> <C> <C>
Primary 490 52,329,335 96.12
Investment 22 1,992,903 3.66
Second Home 2 118,377 0.22
================= ========================= =====================================
Total..................... 514 $ 54,440,615 100.00%
================= ========================= =====================================
</TABLE>
<TABLE>
<CAPTION>
Purpose of the Adjustable Rate Mortgage Loans
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Purpose Loans the Cut-off Date Cut-off Date
- ------------------------------- --------------- ------------------------- -------------------------------------
<S> <C> <C> <C>
Purchase 277 28,490,379 52.33
Cashout 132 14,622,518 26.86
Rate/Term Refinance 105 11,327,719 20.81
=============== ========================= =====================================
Total..................... 514 $ 54,440,615 100.00%
=============== ========================= =====================================
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
Current Loan Rates of the Adjustable Rate Mortgage Loans (1)
<TABLE>
<CAPTION>
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Current Loan Rate (%) Loans the Cut-off Date Cut-off Date
- ------------------------------- --------------- ------------------------- -------------------------------------
<S> <C> <C> <C> <C> <C>
5.38 - 5.50 6 658,938 1.21
5.51 - 6.00 9 911,121 1.67
6.01 - 6.50 14 1,630,658 3.00
6.51 - 7.00 25 2,141,014 3.93
7.01 - 7.50 31 2,796,038 5.14
7.51 - 8.00 34 2,916,045 5.36
8.01 - 8.50 51 6,947,251 12.76
8.51 - 9.00 26 3,532,832 6.49
9.01 - 9.50 32 4,191,687 7.70
9.51 - 10.00 55 7,561,488 13.89
10.01 - 10.50 77 7,978,067 14.65
10.51 - 11.00 56 5,877,772 10.80
11.01 - 11.50 33 3,160,011 5.80
11.51 - 12.00 22 1,488,487 2.73
12.01 - 12.50 16 985,357 1.81
12.51 - 13.00 14 908,749 1.67
13.01 - 13.50 8 476,818 0.88
13.51 - 14.00 2 107,393 0.20
14.01 - 14.30 3 170,890 0.31
=============== ========================= =====================================
Total..................... 514 $ 54,440,615 100.00%
=============== ========================= =====================================
</TABLE>
- ------------------
(1)The weighted average Loan Rate of the Adjustable Rate Mortgage Loans as of
the Cut-off Date was approximately 9.42% per annum.
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Original Loan-to-Value Ratios of the Adjustable Rate Mortgage Loans(1)
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Original Loan-to-Value Ratio (%) Loans the Cut-off Date Cut-off Date
- ----------------------------------- --------------- --------------------- -------------------------------------
<S> <C> <C> <C> <C>
0.00 - 10.00 18 1,710,877 3.14
10.01 - 20.00 1 25,765 0.05
20.01 - 30.00 1 107,889 0.20
30.01 - 40.00 2 106,137 0.19
40.01 - 50.00 9 532,091 0.98
50.01 - 60.00 11 1,471,904 2.70
60.01 - 70.00 66 6,135,255 11.27
70.01 - 80.00 156 17,526,234 32.19
80.01 - 90.00 136 15,966,202 29.33
90.01 - 100.00 87 8,719,144 16.02
100.01 - 104.75 27 2,139,117 3.93
=============== ===================== =====================================
Total.............................. 514 $ 54,440,615 100.00%
=============== ===================== =====================================
</TABLE>
- ----------------------------------------
(1) The weighted average original Loan-to-Value Ratio of the Adjustable Rate
Mortgage Loans as of the Cut-off Date was approximately 80.10%.
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Geographic Distribution of the Adjustable Rate Mortgaged Properties(1)
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Location Loans the Cut-off Date Cut-off Date
- --------------------------------- --------------- ------------------------- ------------------------------------
<S> <C> <C> <C>
Alabama 10 797,209 1.46
Arizona 8 585,788 1.08
Arkansas 1 44,986 0.08
California 72 11,509,741 21.14
Colorado 8 1,308,152 2.40
Connecticut 2 304,519 0.56
Delaware 2 158,017 0.29
District Of Columbia 1 159,191 0.29
Florida 78 7,044,455 12.94
Georgia 29 2,171,469 3.99
Hawaii 6 1,402,320 2.58
Idaho 1 94,245 0.17
Illinois 55 5,154,148 9.47
Indiana 9 771,235 1.42
Kansas 1 65,430 0.12
Kentucky 5 299,069 0.55
Louisiana 3 251,883 0.46
Maryland 7 790,660 1.45
Massachusetts 15 1,667,679 3.06
Michigan 10 732,443 1.35
Minnesota 5 568,200 1.04
Mississippi 2 167,724 0.31
Missouri 13 855,877 1.57
Nevada 2 311,314 0.57
New Hampshire 2 107,601 0.20
New Jersey 23 3,553,104 6.53
New Mexico 2 170,706 0.31
New York 19 1,876,674 3.45
North Carolina 10 789,859 1.45
Ohio 23 1,564,764 2.87
Oklahoma 1 54,661 0.10
Oregon 12 1,422,643 2.61
Pennsylvania 13 1,469,483 2.70
Rhode Island 3 284,649 0.52
South Carolina 2 121,321 0.22
Tennessee 15 1,310,991 2.41
Texas 14 1,730,959 3.18
Utah 9 845,849 1.55
Vermont 2 172,975 0.32
Virginia 2 275,276 0.51
Washington 9 1,054,003 1.94
West Virginia 1 54,218 0.10
Wisconsin 7 365,126 0.67
--------------- ----------------------- --------------------------------------
Total....................... 514 $ 54,440,615 100.00%
=============== ======================= ======================================
</TABLE>
- -------------------
(1) The greatest ZIP Code geographic concentration of Adjustable Rate Mortgage
Loans, by Group II Loan Balance as of the Cut-off Date, was approximately
1.50% in the 94506 ZIP Code.
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Documentation Levels of the Adjustable Rate Mortgage Loans(1)
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Documentation Level Loans the Cut-off Date Cut-off Date
- ------------------------------------- --------------- --------------------- -------------------------------------
<S> <C> <C> <C>
Alternate Documentation 38 4,054,885 7.45
Full Documentation 291 30,341,016 55.73
Limited Documentation 88 9,658,387 17.74
No Documentation 96 10,300,821 18.92
Stated Documentation 1 85,507 0.16
=============== ===================== =====================================
Total........................... 514 $ 54,440,615 100.00%
=============== ===================== =====================================
</TABLE>
- --------------------
(2) For a description of each documentation level, see "The Seller -
Underwriting Standards" herein.
Status of the Adjustable Rate Mortgage Loans
<TABLE>
<CAPTION>
Number Principal Balance % of Aggregate Principal Balance of
of Mortgage Outstanding as of Loan Group Outstanding as of the
Status Loans the Cut-off Date Cut-off Date
- --------------------------------------- --------------- -------------------- -------------------------------------
<S> <C> <C> <C>
CURRENT 373 41,577,923 76.37
30DPD 86 7,672,996 14.09
60DPD 35 3,092,553 5.68
REPERF 20 2,097,143 3.85
=============== ==================== =====================================
Total............................. 514 $54,440,615 100.00%
=============== ==================== =====================================
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Maximum Loan Rates of the Adjustable Rate Mortgage Loans
% of Aggregate
Principal Balance of
Principal Balance Loan Group
Number of Outstanding as of Outstanding as of
Maximum Loan Rate (%) Mortgage Loans the Cut-off Date the Cut-off Date
------------------------------------ ----------------- ------------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C>
0.00 - 0.50 4 586,449 1.08
9.51 - 10.00 3 228,364 0.42
10.01 - 10.50 9 897,730 1.65
10.51 - 11.00 20 1,933,136 3.55
11.01 - 11.50 31 2,977,855 5.47
11.51 - 12.00 29 2,998,866 5.51
12.01 - 12.50 22 1,769,160 3.25
12.51 - 13.00 13 1,206,389 2.22
13.01 - 13.50 11 1,006,376 1.85
13.51 - 14.00 6 682,056 1.25
14.01 - 14.50 17 3,398,210 6.24
14.51 - 15.00 13 1,906,879 3.50
15.01 - 15.50 15 2,358,434 4.33
15.51 - 16.00 26 3,818,462 7.01
16.01 - 16.50 43 4,836,085 8.88
16.51 - 17.00 58 6,955,227 12.78
17.01 - 17.50 65 6,583,012 12.09
17.51 - 18.00 64 5,888,482 10.82
18.01 - 18.50 24 2,076,871 3.81
18.51 - 19.00 14 883,596 1.62
19.01 - 19.50 10 501,135 0.92
19.51 - 20.00 11 612,261 1.12
20.01 - 20.50 3 180,323 0.33
20.51 - 21.00 1 43,916 0.08
21.01 - 21.30 2 111,341 0.20
----------------- ------------------------- ----------------------
Total........................... 514 $ 54,440,615 100.00%
================= ========================= ======================
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Minimum Loan Rates of the Adjustable Rate Mortgage Loans
% of Aggregate
Principal Balance of
Principal Balance Loan Group
Number of Outstanding as of Outstanding as of
Minimum Loan Rate (%) Mortgage Loans the Cut-off Date the Cut-off Date
------------------------------------ ----------------- ------------------------- ----------------------
<S> <C> <C> <C> <C>
0.00 - 0.50 47 5,085,937 9.34
0.51 - 1.00 14 1,229,889 2.26
1.01 - 1.50 17 1,371,590 2.52
1.51 - 2.00 19 1,641,174 3.01
2.01 - 2.50 20 1,495,165 2.75
2.51 - 3.00 11 988,568 1.82
3.01 - 3.50 9 880,766 1.62
3.51 - 4.00 2 620,016 1.14
4.01 - 4.50 4 416,208 0.76
5.01 - 5.50 3 342,327 0.63
5.51 - 6.00 8 822,117 1.51
6.01 - 6.50 13 1,467,665 2.70
6.51 - 7.00 11 1,061,508 1.95
7.01 - 7.50 6 682,890 1.25
7.51 - 8.00 10 1,001,430 1.84
8.01 - 8.50 14 3,127,283 5.74
8.51 - 9.00 26 3,406,847 6.26
9.01 - 9.50 31 4,023,276 7.39
9.51 - 10.00 55 7,320,151 13.45
10.01 - 10.50 70 6,929,421 12.73
10.51 - 11.00 46 4,593,809 8.44
11.01 - 11.50 28 2,777,152 5.10
11.51 - 12.00 19 1,344,480 2.47
12.01 - 12.50 9 488,309 0.90
12.51 - 13.00 11 742,001 1.36
13.01 - 13.50 6 302,352 0.56
13.51 - 14.00 2 107,393 0.20
14.01 - 14.30 3 170,890 0.31
----------------- ------------------------- ----------------------
Total.......................... 514 $ 54,440,615 100.00%
================= ========================= ======================
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Gross Margins of the Adjustable Rate Mortgage Loans
% of Aggregate
Principal Balance of
Number Principal Balance Loan Group
of Mortgage Outstanding as of Outstanding as of
Gross Margins (%) Loans the Cut-off Date the Cut-off Date
----------------------------- ----------------- ------------------------ ------------------------
<S> <C> <C> <C> <C>
1.50 - 1.50 1 25,765 0.05
1.51 - 2.00 28 2,158,883 3.97
2.01 - 2.50 11 784,683 1.44
2.51 - 3.00 103 10,146,869 18.64
3.01 - 3.50 10 1,757,360 3.23
3.51 - 4.00 2 116,550 0.21
4.01 - 4.50 1 695,756 1.28
4.51 - 5.00 11 1,109,552 2.04
5.01 - 5.50 41 4,069,199 7.47
5.51 - 6.00 75 9,420,566 17.30
6.01 - 6.50 72 8,480,843 15.58
6.51 - 7.00 75 7,963,702 14.63
7.01 - 7.50 45 4,788,995 8.80
7.51 - 8.00 17 1,345,309 2.47
8.01 - 8.50 14 1,079,953 1.98
8.51 - 9.00 4 259,711 0.48
9.01 - 9.50 3 215,004 0.39
12.51 - 12.51 1 21,913 0.04
================= ======================== ========================
Total.................. 514 $ 54,440,615 100.00%
================= ======================== ========================
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Next Adjustment Date for the Adjustable Rate Mortgage Loans
% of Aggregate Principal
Principal Balance Balance of Loan Group
Number of Outstanding as of Outstanding as of the
Next Adjustment Date Mortgage Loans the Cut-off Date Cut-off Date
----------------------------- ----------------- ----------------------- --------------------------------
<S> <C> <C> <C>
5/1/99 10 934,037 1.72
5/28/99 1 6,146 0.01
6/1/99 16 1,704,122 3.13
7/1/99 68 6,947,194 12.76
8/1/99 10 1,141,476 2.10
9/1/99 12 1,228,795 2.26
9/30/99 1 141,203 0.26
10/1/99 41 4,479,324 8.23
10/15/99 1 43,701 0.08
11/1/99 4 304,197 0.56
11/15/99 1 99,525 0.18
12/1/99 2 888,588 1.63
12/5/99 1 72,707 0.13
1/1/00 33 2,545,650 4.68
1/21/00 1 25,765 0.05
2/1/00 4 362,080 0.67
3/1/00 1 75,539 0.14
4/1/00 28 2,856,984 5.25
5/1/00 15 1,859,351 3.42
5/27/00 1 71,798 0.13
6/1/00 24 2,972,454 5.46
6/17/00 1 46,720 0.09
7/1/00 29 3,243,139 5.96
7/15/00 2 193,128 0.35
7/17/00 1 82,929 0.15
7/24/00 1 138,700 0.25
7/30/00 3 242,067 0.44
8/1/00 22 2,265,013 4.16
8/5/00 2 446,439 0.82
8/6/00 1 269,246 0.49
8/17/00 1 69,856 0.13
8/21/00 1 23,322 0.04
8/28/00 1 232,413 0.43
8/30/00 2 212,733 0.39
9/1/00 40 4,507,875 8.28
9/15/00 1 122,439 0.22
9/18/00 1 111,312 0.20
9/21/00 1 71,417 0.13
9/22/00 1 87,017 0.16
9/28/00 2 194,108 0.36
9/29/00 1 91,592 0.17
10/1/00 37 4,287,052 7.87
10/6/00 1 35,712 0.07
11/1/00 33 2,866,744 5.27
12/1/00 10 1,245,266 2.29
1/1/01 18 2,166,890 3.98
2/1/01 2 202,069 0.37
4/1/01 1 55,803 0.10
5/1/01 1 32,799 0.06
6/1/01 1 47,830 0.09
7/1/01 4 299,309 0.55
8/1/01 1 56,107 0.10
9/1/01 1 34,816 0.06
10/1/01 1 124,412 0.23
11/1/01 3 218,193 0.40
3/1/02 1 59,656 0.11
1/1/03 1 133,369 0.24
5/1/03 4 514,408 0.94
6/1/03 4 611,774 1.12
7/1/03 1 36,302 0.07
----------------- ----------------------- --------------------------------
Total 514 $ 54,440,615 100.00%
================= ======================= ================================
</TABLE>
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Indices of the Adjustable Rate Mortgage Loans
% of Aggregate
Principal Balance
Number of Principal Balance of Loan Group
Mortgage Outstanding as of Outstanding as of
Index(1) Loans the Cut-off Date the Cut-off Date
-------------------------------------- ------------- ----------------------- ----------------------
<S> <C> <C> <C> <C>
6ML 360 39,839,791 73.18
1 YR CMT 146 14,168,695 26.03
OTHER 8 432,128 0.79
============= ======================= ======================
Total......................... 514 $ 54,440,615 100.00%
============= ======================= ======================
</TABLE>
- --------------------
(1) Each of these Indices are described under "--The Index."
<TABLE>
<CAPTION>
Initial Periodic Rate Caps of the Group Adjustable Rate Mortgage Loans(1)
% of Aggregate
Principal Balance
Principal Balance of Loan Group
Number of Outstanding as of Outstanding as of
Initial Periodic Rate Cap (%) Mortgage Loans the Cut-off Date the Cut-off Date
- ------------------------------------------ ----------------- ----------------------- ------------------------
<S> <C> <C> <C>
0.00 143 14,446,842 26.54
1.00 207 22,568,397 41.46
1.50 29 2,664,445 4.89
2.00 30 3,498,375 6.43
3.00 98 10,710,998 19.67
5.00 1 145,917 0.27
6.50 1 124,412 0.23
7.00 5 281,228 0.52
--------------- ------------------------- ------------------------
Total................................ 514 $ 54,440,615 100.00%
=============== ========================= ========================
- ------------------
</TABLE>
(1) Relates solely to initial rate adjustments.
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
<TABLE>
<CAPTION>
Subsequent Periodic Rate Caps of the Adjustable Rate Mortgage Loans(1)
% of Aggregate
Principal Balance
Principal Balance of Loan Group
Number of Outstanding as of Outstanding as of
Periodic Rate Cap (%) Mortgage Loans the Cut-off Date the Cut-off Date
- ------------------------------------------ --------------- ------------------------- ------------------------
<S> <C> <C> <C>
0.00 5 338,273 0.62
0.50 1 110,929 0.20
1.00 271 30,254,642 55.57
1.50 211 20,727,772 38.07
1.90 1 92,208 0.17
2.00 16 2,089,429 3.84
3.00 9 827,362 1.52
=============== ========================= ========================
Total................................ 514 $ 54,440,615 100.00%
=============== ========================= ========================
- ------------------
</TABLE>
(1) Relates to all rate adjustments subsequent to initial rate adjustments.
- -------------------------------------------------------------------------------
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>
Computational Materials
C-BASS Mortgage Loan Asset-Backed Certificates, Series 1999-CB2
MERRILL LYNCH CONTACTS:
<TABLE>
<CAPTION>
Trading Asset Backed Finance Group
- ------- --------------------------
<S> <C> <C> <C>
Vince Mora (212) 449-5320 Pete Cerwin (212) 449-3270
Dan Pace (212) 449-5320 Marc Rosenthal (212) 449-8721
Dan Lonski (212) 449-5326 Erik Silver (212) 449-1362
Scott Soltas (212) 449-3659 Ed McCormick (212) 449-4563
Terrence Mack (212) 449-3659 Laurie Higgenbotham (212) 449-4242
Brian Kane (212) 449-3659
Research
Chris Flanagan (212) 449-1655
Ralph Diserio (212) 449-1629
Ryan Asato (212) 449-9622
Ken Hackel (212) 449-1637
Evan Firestone (212) 449-1759
</TABLE>
