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: June 17, 1999
(Date of earliest event reported)
Merrill Lynch Mortgage Investors, Inc.
(Exact name of registrant as specified in its charter)
Delaware 333-39127 33-3416059
- -------- --------- ----------
(State or Other Juris- (Commission (I.R.S. Employer
diction of Incorporation) File Number) Identification No.)
250 Vesey Street, World Financial Center, North Tower,
New York, New York 10281
- ------------------------------------------------------ -----
(Address of Principal Executive Office) (Zip Code)
Registrant's telephone number, including area code: (212) 449-1000
--------------
<PAGE>
-2-
Item 5. Other Events.
On June 23, 1999, the Registrant will cause the issuance and
sale of approximately $109,248,500 initial principal amount of Merrill
Lynch Mortgage Investors, Inc. Mortgage Loan Asset Backed Certificates,
Series 1999-H2, Class A (the "Certificates") pursuant to a pooling and
servicing agreement to be dated as of June 1, 1999, among the
Registrant, Litton Loan Servicing LP, as Servicer, and The Chase
Manhattan Bank, as Trustee.
In connection with the sale of the Series 1999-H2, Class A
Certificates (the "Underwritten Certificates") to Merrill Lynch,
Pierce, Fenner & Smith, Inc. (the "Underwriter") the Registrant has
been advised by the Underwriter that the Underwriter has furnished to
prospective investors certain yield tables and other computational
materials (the "Computational Materials") with respect to the
Underwritten Certificates following the effective date of Registration
Statement No. 333-39127, which Computational Materials are being filed
manually as exhibits to this report.
The Computational Materials have been provided by the
Underwriter. The information in the Computational Materials is
preliminary and may be superseded by the Prospectus Supplement relating
to the Certificates and by any other information subsequently filed
with the Securities and Exchange Commission.
The Computational Materials consist of the first 15 pages (the
"Computational Materials") that appear after the Form SE cover sheet
and the page headed "NOTICE". THE UNDERWRITER HAS ADVISED THE
REGISTRANT THAT CERTAIN INFORMATION IN THE COMPUTATIONAL MATERIALS MAY
HAVE BEEN BASED ON ASSUMPTIONS THAT DIFFERED FROM THE FINAL POOL
INFORMATION.
The Computational Materials were prepared by the Underwriter
at the request of certain prospective investors, based on assumptions
provided by, and satisfying the special requirements of, such
prospective investors. The Computational Materials may be based on
assumptions that differ from the assumptions set forth in the
Prospectus Supplement. The Computational Materials may not include, and
do not purport to include, information based on assumptions
representing a complete set of possible scenarios. Accordingly, the
Computational Materials may not be relevant to or appropriate for
investors other than those specifically requesting them.
In addition, the actual characteristics and performance of the
mortgage loans underlying the Underwritten Certificates (the "Mortgage
Loans") may differ from the assumptions used in the Computational
Materials, which are hypothetical in nature and which were provided to
certain investors only to give a general sense of how the yield,
average life, duration, expected maturity, interest rate sensitivity
and cash flow characteristics of a particular class of Underwritten
Certificates might vary under varying
<PAGE>
-3-
prepayment and other scenarios. Any difference between such assumptions
and the actual characteristics and performance of the Mortgage Loans
will affect the actual yield, average life, duration, expected
maturity, interest rate sensitivity and cash flow characteristics of a
particular class of Underwritten Certificates.
Item 7. Financial Statements, PRO FORMA Financial Information And Exhibits
------------------------------------------------------------------
(a) Financial Statements.
--------------------
Not applicable.
(b) PRO FORMA Financial Information.
-------------------------------
Not applicable.
(c) Exhibits
--------
ITEM 601(A) OF
REGULATION S-K
EXHIBIT NO. EXHIBIT NO. DESCRIPTION
- ----------- ----------- -----------
1 99 Computational Materials
<PAGE>
-4-
Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on behalf of the
Registrant by the undersigned thereunto duly authorized.
MERRILL LYNCH MORTGAGE
INVESTORS, INC.
By: /s/ Peter Cerwin
----------------------------
Name: Peter Cerwin
Title: Authorized Signatory
Dated: June 18, 1999
<PAGE>
EXHIBIT INDEX
Item 601 (a) of Sequentially
Exhibit Regulation S-K Numbered
Number Exhibit No. Description Page
------ ----------- ----------- ----
1 99 Computational Materials Filed Manually
EXHIBIT
<PAGE>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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.
$109,248,500
MERRILL LYNCH MORTGAGE INVESTORS, INC
MORTGAGE LOAN ASSET BACKED CERTIFICATES SERIES 1999-H2
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
TO MATURITY TO CALL
---------------------- ----------------------
EXPECTED EXPECTED EXPECTED FINAL
CLASS RATINGS AVG. PAYMENT AVG. PAYMENT SCHEDULED DAY
CLASS SIZE(1) S&P / MOODY'S LIFE(2) WINDOW(2) LIFE(3) WINDOW(3) DISTRIBUTION DATE COUNT
----- ------- ------------- ------- --------- ------- --------- ----------------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A $109,248,500 AAA/AAA 3.11 1 - 211 2.85 1 - 94 January 25, 2029 Act/360
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) CLASS SIZE IS SUBJECT TO A VARIANCE OF 10%
Depositor: Merrill Lynch Mortgage Investors, Inc.
Master Servicer: Litton Loan Servicing LP
Trustee: Chase Manhattan Bank
Originator: Pacific America Money Center, Inc.
Underwriter: Merrill Lynch, Pierce, Fenner & Smith
Incorporated
Cut-Off Date: June 1, 1999
Exp. Pricing: Week of June 7, 1999
Exp. Settlement: Week of June 21, 1999, through DTC, Euroclear and
Cedelbank ("CEDEL")
Prepayment Speed: 25% CPR
Distribution Dates: The 25th day of each month (or if such 25th day
is not a business day, the next succeeding
business day), commencing on July 26, 1999.
Collateral: Conventional, adjustable rate, one-to-four
family, first lien mortgage loans indexed to 6
Month LIBOR.
Optional Termination: The owner of the Class R Certificate has the
option (or if the owner of the Class R
Certificate does not exercise such option, the
Master Servicer has the option) to purchase all
the mortgage loans and any properties that the
trustee acquired in satisfaction of any of the
mortgage loans. This option can be exercised (i)
by the holder of the Class R Certificate only if
the Class R Certificate is not held by the
Depositor or any affiliate, and (ii) only when
the total principal balance of the mortgage
loans, including the mortgage loans related to
the properties which the trustee has acquired, is
10% or less than the total principal balance of
the mortgage loans on the Cut-Off Date.
Step-Up Coupon: The Pass-Through Margin for the Class A
Certificates will double for any Distribution
Date after the date on which the pool balance is
10% or less than the total principal balance of
the mortgage loans on the Cut-Off Date.
SMMEA: The Class A Certificates will constitute
"mortgage related securities" for purposes of
SMMEA.
ERISA: The Class A Certificates will be ERISA eligible.
However, investors should consult with their
counsel with respect to the consequences under
ERISA and the Internal Revenue Code of an ERISA
Plan's acquisition and ownership of such
Certificates.
Tax Status: REMIC
Advancing: The Master Servicer will be obligated to make
Monthly Advances of delinquent principal and
interest (to the extent deemed recoverable).
Prepayment Interest The Master Servicer will be obligated to pay from
Shortfalls its own funds Prepayment Interest (but only to
the extent of 50% of the Servicing Fee for the
related Collection Period).
1
- --------------------------------------------------------------------------------
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
Credit Enhancement: Credit Enhancement: The credit enhancement
provided for the benefit of the holders consists
solely of:
A) Monthly Excess Interest;
B) Overcollateralization; and
C) The Certificate Insurance Policy
MONTHLY EXCESS INTEREST
On each remittance date, the amount of interest
due on the mortgage loans will generally be
greater than the amount needed to make monthly
interest payments on the certificates and to pay
certain fees for such month. Excess interest from
the mortgage loans will be used first to cover
any shortfalls in the required payments of
principal on the Class A Certificates, and then
for overcollateralization.
OVERCOLLATERALIZATION
(1) Overcollateralization will initially equal
2.15% of the original mortgage loan amount.
(2) Before the step-down date, the
overcollateralization target is 6.95% of
the original mortgage loan amount (subject
to a Trigger Event).
(3) On and after the step-down date, the
overcollateralization target is the lesser
of 13.90% of the current aggregate mortgage
loan balance, and 6.95% of the original
mortgage loan amount (subject to a Trigger
Event).
(4) The overcollateralization amount is subject
to a floor of 0.50% of the original
mortgage loan amount (subject to a Trigger
Event).
THE CERTIFICATE INSURANCE POLICY
On the Closing Date, the Certificate
Insurer will issue the Certificate
Insurance Policy in favor of the Trustee.
Subject to certain limitations described in
the Prospectus Supplement, the policy will
unconditionally and irrevocably guarantee
the monthly payment of interest due on the
Class A Certificates and the ultimate
receipt of the certificate principal
balance of the Class A Certificates. The
Policy does not cover, and Insured Payments
shall not include, any Civil Relief
Interest Shortfalls, and Prepayment
Interest Shortfalls, any LIBOR shortfall or
any LIBOR Carryover Amount.
2
- --------------------------------------------------------------------------------
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
INTEREST:
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).
Pass-Through Rate (Available
Funds): The Pass-Through Rate on the Class A
Certificates will be the lesser of: i) the
LIBOR Rate (1-month LIBOR plus the
applicable Pass-Through Margin), and ii)
the weighted average mortgage rate minus
the sum of the Expense Fee Rate and 0.50%
(the "Available Funds Pass-Through Rate").
LIBOR Carry Over Amount: If on any Distribution Date, the
Pass-Through Rate is limited by the
Available Funds Pass-Through Rate, you will
be entitled to receive the excess of i) the
interest distributable had the Pass-Through
Rate been based on the LIBOR Rate (but not
more than the weighted average maximum
mortgage rate on all mortgage loans minus
the sum of the Expense Fee Rate and 0.50%),
over ii) the interest actually distributed
based on the Available Funds Pass-Through
Rate plus iii) interest thereon at the
applicable Pass-Through Rate.
Expense Fee Rate: The sum of (i) the Trustee Fee Rate
(0.0125%), (ii) the Certificate Insurer
Premium Rate (0.21%), (iii) the Servicing
Fee Rate (0.50%), and (iv) the per annum
rate of the PMI Premiums (0.82%on the loans
with PMI).
Special Servicing Fee: $125 per loan per month for 18 consecutive
months for all loans greater than 90 days
delinquent. The Special Servicing Fee will
be subordinate to cashflows to the offered
certificates.
PRINCIPAL:
Principal Distribution Amount: As of any Distribution Date will equal the
least of (a) the Class A Certificate
Balance, and (b) the sum of:
(i) the principal amount of all
unscheduled monthly payments due
on the Mortgage Loans or advanced
during the related Collection
Period;
(ii) the principal portion of all
other unscheduled collections
received during the related
Collection Period (including,
without limitation, full and
partial principal prepayments
made by the respective
Mortgagors, Liquidation Proceeds,
Insurance Proceeds (excluding
proceeds paid in respect of the
Certificate Insurance Policy) and
PMI Insurance Proceeds); and
(iii) the Undercollateralization
Amount; minus
(iv) the amount of any
Overcollateralization Release
Amount.
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
MORTGAGE POOL CHARACTERISTICS:
As of June 1, 1999 (the "Cut-off Date") the Depositor will deliver approximately
$111,649,009 of Adjustable Rate Loans.
ADJUSTABLE RATE LOANS
Total Principal Balance: $111,649,009.11
Average Unpaid Principal Balance: $109,674.86
Number of loans: 1,018
Properties secured by First Liens: 100%
Weighted Average Gross Coupon: 10.278%
Weighted Average Gross Margin/Life Cap: 7.236%/16.701%
Weighted Average Original LTV: 81.10%
Loans with PMI: 55.59%
Weighted Average Remaining Term: 349 mos.
Weighted Average Original Term: 359 mos.
Weighted Average Seasoning: 10 mos.
Loan Type-
6 Month LIBOR: 5.78%
2/28 - 6 Month LIBOR: 72.04%
3/27 - 6 Month LIBOR: 18.04%
5/25 - 6 Month LIBOR: 3.34%
2/13 - 6 Month LIBOR: 0.50%
3/17 - 6 Month LIBOR: 0.04%
2/18 - 6 Month LIBOR: 0.21%
2/08 - 6 Month LIBOR: 0.06%
Loan Purpose-
Purchase: 50.88%
Cashout: 35.42%
Rate and Term Refinance: 13.71%
Owner Occupancy-
Non- Owned: 3.85%
Owner Occupied: 95.79%
Second Home 0.35%
Property Type-
Single Family: 85.27%
2-4 Unit: 2.36%
Mobile Home: 0.11%
Condo: 5.25%
Townhouse: 1.35%
PUD 5.65%
Geographic Distribution: 43 States & District of Columbia
States w/ >5% Concentrations: CA-26.74%, NJ-12.83% NY-8.79%,
FL-5.32%, MI-5.02%
4
- --------------------------------------------------------------------------------
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
COLLATERAL INDEX AND ADJUSTMENT FREQUENCY:
<TABLE>
<CAPTION>
Weighted Avg.
Index Adj. Frequency % of Pool Gross WAC Gross Margin
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
2/08 Arm Semi-Annual 0.06% 9.679% 5.972%
2/13 Arm Semi-Annual 0.50 10.419 6.911
2/18 Arm Semi-Annual 0.21 10.010 6.413
2/28 Arm Semi-Annual 72.04 10.344 7.285
3/17 Arm Semi-Annual 0.04 7.990 4.400
3/27 Arm Semi-Annual 18.04 9.838 7.301
5/25 Arm Semi-Annual 3.34 9.295 6.538
6 Month LIBOR Semi-Annual 5.78 11.416 6.918
- --------------------------------------------------------------------------------------------------------------------------
100.00% 10.278% 7.236%
</TABLE>
PREPAYMENT SENSITIVITY ANALYSIS:
<TABLE>
<CAPTION>
(TO CALL)
SCENARIO 1 2 3 4 5 6 7
- - - - - - -
<S> <C> <C> <C> <C> <C> <C> <C>
CPR 0% 10% 20% 25% 30% 40% 50%
WAL (yrs.) 20.38 7.12 3.63 2.85 2.33 1.64 1.20
Exp. Beg. Am.(mo.) 1 1 1 1 1 1 1
Exp. End. Am.(mo.) 339 228 120 94 77 54 40
Exp. End. Am.(date) 09/27 06/18 06/09 04/07 11/05 12/03 10/02
</TABLE>
<TABLE>
<CAPTION>
(TO MATURITY)
SCENARIO 1 2 3 4 5 6 7
- - - - - - -
<S> <C> <C> <C> <C> <C> <C> <C>
CPR 0% 10% 20% 25% 30% 40% 50%
WAL (yrs.) 20.41 7.48 3.95 3.11 2.54 1.79 1.31
Exp. Beg. Am.(mo.) 1 1 1 1 1 1 1
Exp. End. Am.(mo.) 349 339 260 211 174 123 91
Exp. End. Am.(date) 07/28 09/27 02/21 01/17 12/13 09/09 01/07
</TABLE>
5
- --------------------------------------------------------------------------------
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
COLLATERAL CHARACTERISTICS
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
% OF CUT-OFF DATE
NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----- -------------- ----------------- -----------------
AZ 22 1,726,349 1.55%
CA 171 29,857,484 26.74
CO 23 2,684,556 2.40
CT 35 3,147,160 2.82
DC 4 300,707 0.27
DE 5 376,591 0.34
FL 63 5,934,553 5.32
GA 14 1,713,782 1.53
HI 1 82,051 0.07
IA 5 319,918 0.29
ID 9 691,322 0.62
IL 12 1,005,542 0.90
IN 4 157,319 0.14
KS 10 754,571 0.68
KY 4 204,445 0.18
LA 8 627,087 0.56
MA 39 4,410,954 3.95
MD 19 1,555,588 1.39
ME 1 101,394 0.09
MI 56 5,608,522 5.02
MN 11 982,678 0.88
MO 14 746,545 0.67
MS 2 169,625 0.15
MT 1 85,609 0.08
NC 9 1,107,465 0.99
NE 9 702,273 0.63
NH 13 837,421 0.75
NJ 115 14,319,098 12.83
NM 1 92,504 0.08
NV 15 1,626,181 1.46
NY 83 9,809,689 8.79
OH 25 1,688,065 1.51
OK 16 1,134,141 1.02
OR 10 1,215,610 1.09
PA 41 3,124,533 2.80
RI 8 540,765 0.48
SC 1 147,114 0.13
TX 63 4,940,863 4.43
UT 32 3,306,805 2.96
VA 8 657,603 0.59
WA 17 1,695,636 1.52
WI 17 1,246,661 1.12
WV 1 31,008 0.03
WY 1 181,223 0.16
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
6
- --------------------------------------------------------------------------------
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOAN-TO-VALUE RATIOS
% OF CUT-OFF DATE
RANGE OF NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
LOAN-TO-VALUE RATIOS (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
0.01 - 20.00 1 58,726 0.05%
20.01 - 25.00 1 48,840 0.04
25.01 - 30.00 1 45,014 0.04
30.01 - 35.00 1 67,517 0.06
35.01 - 40.00 5 167,601 0.15
40.01 - 45.00 4 344,789 0.31
45.01 - 50.00 5 356,290 0.32
50.01 - 55.00 11 1,260,699 1.13
55.01 - 60.00 18 1,590,898 1.42
60.01 - 65.00 69 6,352,871 5.69
65.01 - 70.00 66 5,631,321 5.04
70.01 - 75.00 78 8,750,996 7.84
75.01 - 80.00 250 26,359,656 23.61
80.01 - 85.00 231 28,184,105 25.24
85.01 - 90.00 270 31,371,820 28.10
90.01 - 95.00 5 737,354 0.66
95.01 - 96.72 2 320,513 0.29
===== ============ =======
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
- -----------------
The weighted average Loan-to-Value ratio, as of the Cut-Off Date was 81.10%
<TABLE>
<CAPTION>
INITIAL MORTGAGE LOANS TYPE
% OF CUT-OFF DATE
NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
LOAN TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
--------- -------------- ----------------- -----------------
<S> <C> <C> <C>
2/08 Six Month LIBOR 2 65,435 0.06%
2/13 Six Month LIBOR 14 553,401 0.50
2/18 Six Month LIBOR 3 234,082 0.21
2/28 Six Month LIBOR 754 80,431,297 72.04
3/17 Six Month LIBOR 1 43,706 0.04
3/27 Six Month LIBOR 166 20,138,803 18.04
5/25 Six Month LIBOR 27 3,728,459 3.34
Six Month LIBOR 51 6,453,826 5.78
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
7
- --------------------------------------------------------------------------------
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL BALANCES OF THE INITIAL MORTGAGE LOANS AT ORIGINATION
% OF CUT-OFF DATE
RANGE OF PRINCIPAL NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
BALANCES AT ORIGINATION MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
0.01 - 25,000.00 18 398,029 0.36%
25,000.01 - 50,000.00 136 5,159,292 4.62
50,000.01 - 75,000.00 202 12,396,903 11.10
75,000.01 - 100,000.00 181 15,341,555 13.74
100,000.01 - 125,000.00 138 15,179,718 13.60
125,000.01 - 150,000.00 114 15,262,348 13.67
150,000.01 - 175,000.00 70 11,040,045 9.89
175,000.01 - 200,000.00 51 9,333,057 8.36
200,000.01 - 225,000.00 31 6,354,936 5.69
225,000.01 - 250,000.00 23 5,366,253 4.81
250,000.01 - 275,000.00 19 4,814,647 4.31
275,000.01 - 300,000.00 16 4,560,833 4.08
300,000.01 - 325,000.00 6 1,865,975 1.67
325,000.01 - 350,000.00 7 2,303,058 2.06
350,000.01 - 400,000.00 5 1,864,619 1.67
400,000.01 - 450,000.00 1 407,743 0.37
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
The weighted average Principal Balance at Origination was $112,219.73
<TABLE>
<CAPTION>
PRINCIPAL BALANCES OF THE INITIAL MORTGAGE LOANS AT THE CUT-OFF DATE
% OF CUT-OFF DATE
RANGE OF PRINCIPAL NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
BALANCES AT CUT-OFF DATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
0.01 - 25,000.00 20 447,200 0.40%
25,000.01 - 50,000.00 141 5,454,334 4.89
50,000.01 - 75,000.00 213 13,388,226 11.99
75,000.01 - 100,000.00 173 14,995,238 13.43
100,000.01 - 125,000.00 143 16,038,603 14.37
125,000.01 - 150,000.00 113 15,486,848 13.87
150,000.01 - 175,000.00 67 10,873,681 9.74
175,000.01 - 200,000.00 50 9,407,926 8.43
200,000.01 - 225,000.00 26 5,488,658 4.92
225,000.01 - 250,000.00 26 6,211,877 5.56
250,000.01 - 275,000.00 15 3,949,976 3.54
275,000.01 - 300,000.00 12 3,465,048 3.10
300,000.01 - 325,000.00 8 2,509,941 2.25
325,000.01 - 350,000.00 5 1,659,092 1.49
350,000.01 - 400,000.00 5 1,864,619 1.67
400,000.01 - 450,000.00 1 407,743 0.37
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
The weighted average Principal Balance at the Cut-Off Date was $109,674.86
8
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
ORIGINAL TERM TO MATURITY
% OF CUT-OFF DATE
NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
MONTHS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------ -------------- ----------------- -----------------
<S> <C> <C> <C>
120 3 122,983 0.11%
180 14 553,401 0.50
240 4 277,788 0.25
360 997 110,694,837 99.15
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
The weighted average Original Term to Maturity at the Cut-Off Date was
359 months.
<TABLE>
<CAPTION>
REMAINING TERM TO MATURITY
% OF CUT-OFF DATE
NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
RANGE OF MONTHS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
--------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
61 - 120 3 122,983 0.11%
121 - 180 14 553,401 0.50
181 - 240 4 277,788 0.25
301 - 360 997 110,694,837 99.15
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
The weighted average Remaining Term to Maturity at the Cut-Off Date
was 349 months.
<TABLE>
<CAPTION>
DOCUMENTATION TYPE
% OF CUT-OFF DATE
NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
DOCUMENTATION TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
Alternate Documentation 56 6,682,137 5.98%
Full Documentation 699 73,310,652 65.66
Stated Income 263 31,656,220 28.35
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
<TABLE>
<CAPTION>
OCCUPANCY TYPES
% OF CUT-OFF DATE
NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
OCCUPANCY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Investor Property 53 4,299,907 3.85%
Primary 960 106,954,118 95.79
Secondary 5 394,985 0.35
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
9
- --------------------------------------------------------------------------------
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RISK CATEGORIES OF INITIAL MORTGAGE LOANS
% OF CUT-OFF DATE
NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
RISK GRADE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------- -------------- ----------------- -----------------
<S> <C> <C> <C>
A 224 28,303,786 25.35%
A- 342 39,398,105 35.29
B 210 23,269,843 20.84
C 154 13,925,922 12.47
C- 21 1,674,415 1.50
D 59 4,763,904 4.27
E 8 313,034 0.28
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
<TABLE>
<CAPTION>
PROPERTY TYPES
% OF CUT-OFF DATE
NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
2-4 Family 28 2,638,051 2.36%
Condo 62 5,864,738 5.25
Mobile Home 2 122,679 0.11
PUD 56 6,311,534 5.65
Single Family 850 95,205,611 85.27
Townhome 20 1,506,396 1.35
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
<TABLE>
<CAPTION>
PURPOSES OF INITIAL MORTGAGE LOANS
% OF CUT-OFF DATE
NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
LOAN PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
Refinance-Cashout 380 39,541,833 35.42%
Purchase 500 56,805,215 50.88
Rate and Term Refinance 138 15,301,961 13.71
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF DAYS DELINQUENT (AS OF 5/17/1999)
% OF CUT-OFF DATE
NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
NO. OF DAYS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----------- -------------- ----------------- -----------------
<S> <C> <C> <C>
0 - 29 990 109,591,105 98.16%
30 - 59 28 2,057,905 1.84
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CURRENT RATE
% OF CUT-OFF DATE
RANGE OF NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
MORTGAGE RATES (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
7.01 - 7.50 4 755,319 0.68%
7.51 - 8.00 23 3,119,188 2.79
8.01 - 8.50 45 7,142,299 6.40
8.51 - 9.00 104 14,447,994 12.94
9.01 - 9.50 106 13,204,579 11.83
9.51 - 10.00 156 16,822,413 15.07
10.01 - 10.50 128 14,162,513 12.68
10.51 - 11.00 132 12,904,472 11.56
11.01 - 11.50 72 6,595,647 5.91
11.51 - 12.00 86 8,849,028 7.93
12.01 - 12.50 52 5,070,824 4.54
12.51 - 13.00 43 3,682,960 3.30
13.01 - 13.50 22 1,689,629 1.51
13.51 - 14.00 12 1,083,059 0.97
14.01 - 14.50 13 770,871 0.69
14.51 - 15.00 7 438,380 0.39
15.01 - 15.50 6 702,183 0.63
15.51 - 16.00 4 122,076 0.11
16.01 - 16.50 1 31,225 0.03
16.51 - 17.00 2 54,351 0.05
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
The weighted average Current Rate at the Cut-Off Date was 10.278%.
<TABLE>
<CAPTION>
GROSS MARGIN
% OF CUT-OFF DATE
RANGE OF NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
GROSS MARGINS (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
3.51 - 4.00 1 29,101 0.03%
4.01 - 4.50 6 660,395 0.59
4.51 - 5.00 9 1,480,777 1.33
5.01 - 5.50 31 3,690,094 3.31
5.51 - 6.00 78 8,626,701 7.73
6.01 - 6.50 143 17,783,474 15.93
6.51 - 7.00 162 18,936,782 16.96
7.01 - 7.50 184 22,030,558 19.73
7.51 - 8.00 128 13,130,383 11.76
8.01 - 8.50 97 9,309,184 8.34
8.51 - 9.00 84 8,057,475 7.22
9.01 - 9.50 49 4,441,195 3.98
9.51 - 10.00 26 2,066,404 1.85
10.01 - 10.50 14 1,001,368 0.90
10.51 - 11.00 4 348,887 0.31
11.01 - 11.50 2 56,231 0.05
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
The weighted average Gross Margin at the Cut-Off Date was 7.236%.
11
- --------------------------------------------------------------------------------
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INITIAL RATE CAP FOR INITIAL MORTGAGE LOANS
% OF CUT-OFF DATE
NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
RATE CAP (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------ -------------- ----------------- -----------------
<S> <C> <C> <C> <C>
1.50 52 6,551,715 5.87%
3.00 966 105,097,295 94.13
--- ----------- ------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
The weighted average Initial Rate Cap at the Cut-Off Date was 2.912%.
<TABLE>
<CAPTION>
PERIODIC RATE CAP FOR INITIAL MORTGAGE LOANS
% OF CUT-OFF DATE
NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
RATE CAP (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------ -------------- ----------------- -----------------
<S> <C> <C> <C> <C>
1.50 1,018 111,649,009 100.00%
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
<TABLE>
<CAPTION>
NEXT RATE ADJUSTMENT DATE FOR INITIAL MORTGAGE LOANS
% OF CUT-OFF DATE
NEXT ADJUSTMENT NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
DATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
---- -------------- ----------------- -----------------
<S> <C> <C> <C> <C>
1999-07 2 127,724 0.11%
1999-08 34 4,376,796 3.92
1999-09 15 1,949,305 1.75
1999-11 1 97,889 0.09
2000-02 1 131,813 0.12
2000-04 1 67,517 0.06
2000-05 2 316,027 0.28
2000-06 4 363,662 0.33
2000-07 146 16,312,558 14.61
2000-08 352 36,111,387 32.34
2000-09 266 27,953,314 25.04
2000-10 1 93,133 0.08
2001-07 38 4,874,459 4.37
2001-08 76 8,740,807 7.83
2001-09 52 6,404,158 5.74
2003-07 8 985,363 0.88
2003-08 14 1,881,082 1.68
2003-09 5 862,014 0.77
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
The weighted average months to the Next Rate Adjustment Date at the
Cut-Off Date was 16.76.
12
- --------------------------------------------------------------------------------
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFE TIME RATE CAP FOR INITIAL MORTGAGE LOANS
% OF CUT-OFF DATE
RANGE OF LIFE NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
TIME RATE CAPS (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C> <C>
13.51 - 14.00 6 885,105 0.79%
14.01 - 14.50 25 3,447,047 3.09
14.51 - 15.00 46 7,272,895 6.51
15.01 - 15.50 113 15,610,092 13.98
15.51 - 16.00 109 13,391,421 11.99
16.01 - 16.50 155 16,782,997 15.03
16.51 - 17.00 130 14,623,438 13.10
17.01 - 17.50 134 13,228,143 11.85
17.51 - 18.00 72 6,715,100 6.01
18.01 - 18.50 77 7,598,917 6.81
18.51 - 19.00 45 4,216,860 3.78
19.01 - 19.50 40 3,127,429 2.80
19.51 - 20.00 21 1,547,422 1.39
20.01 - 20.50 12 1,083,059 0.97
20.51 - 21.00 13 770,871 0.69
21.01 - 21.50 7 438,380 0.39
21.51 - 22.00 6 702,183 0.63
22.01 - 22.50 4 122,076 0.11
22.51 - 23.00 1 31,225 0.03
23.01 - 23.50 2 54,351 0.05
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
The weighted average Life Time Rate Cap at the Cut-Off Date was 16.701%.
<TABLE>
<CAPTION>
LIFE TIME RATE FLOOR FOR INITIAL MORTGAGE LOANS
% OF CUT-OFF DATE
RANGE OF LIFE NO. OF INITIAL AGGREGATE UNPAID AGGREGATE
TIME RATE FLOORS (%) MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------------- -------------- ----------------- -----------------
<S> <C> <C> <C> <C>
7.01 - 7.50 6 885,105 0.79%
7.51 - 8.00 25 3,447,047 3.09
8.01 - 8.50 46 7,272,895 6.51
8.51 - 9.00 113 15,610,092 13.98
9.01 - 9.50 109 13,391,421 11.99
9.51 - 10.00 155 16,782,997 15.03
10.01 - 10.50 130 14,623,438 13.10
10.51 - 11.00 134 13,228,143 11.85
11.01 - 11.50 72 6,715,100 6.01
11.51 - 12.00 77 7,598,917 6.81
12.01 - 12.50 45 4,216,860 3.78
12.51 - 13.00 40 3,127,429 2.80
13.01 - 13.50 21 1,547,422 1.39
13.51 - 14.00 12 1,083,059 0.97
14.01 - 14.50 13 770,871 0.69
14.51 - 15.00 7 438,380 0.39
15.01 - 15.50 6 702,183 0.63
15.51 - 16.00 4 122,076 0.11
16.01 - 16.50 1 31,225 0.03
16.51 - 17.00 2 4,351 0.05
----- ------------ -------
1,018 $111,649,009 100.00%
===== ============ =======
</TABLE>
The weighted average Life Time Rate Floor at the Cut-Off Date was
10.201%.
13
- --------------------------------------------------------------------------------
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
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.
14
- --------------------------------------------------------------------------------
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>
[GRAPHIC OMITTED] COMPUTATIONAL MATERIALS FOR MLMI MORTGAGE LOAN ASSET
MERILL LYNCH BACKED CERTIFICATES, SERIES 1999-H2
- --------------------------------------------------------------------------------
FOR ADDITIONAL INFORMATION PLEASE CALL:
ASSET BACKED FINANCE GROUP
- --------------------------
PETE CERWIN (212) 449-3270
MIKE MURPHY (212) 449-0843
ANOJJA PERSAD (212) 449-3780
TRADING
- -------
VINCE MORA (212) 449-5320
DAN PACE (212) 449-5320
ASSET BACKED RESEARCH
- ---------------------
CHRIS FLANAGAN (212) 449-1655
RALPH DISERIO (212) 449-1629
RYAN ASATO (212) 449-9622
15
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
