-----------------------------------------------------------------
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): March 9, 2000
MERRILL LYNCH MORTGAGE INVESTORS, INC.
(as depositor)
MERRILL LYNCH MORTGAGE INVESTORS, INC.
--------------------------------------
(Exact name of registrant as specified in its charter)
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Delaware 333-81429 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)
</TABLE>
Registrant's telephone number, including area code (212) 449-1000
----- --------
-----------------------------------------------------------------
Item 5. Other Events.
- ---- ------------
Filing of Computational Materials.
- ---------------------------------
In connection with the offering of the Sequoia Mortgage Trust 4
Mortgage Loan Asset-Backed Pass Through Certificates, Class A, Merrill Lynch,
Pierce, Fenner & Smith Incorporated, as representative of the several
underwriters of the Certificates (the "Representative"), has prepared certain
materials (the "Computational Materials") for distribution to its potential
investors. Although Merrill Lynch Mortgage Investors, Inc. provided the
Representative with certain information regarding the characteristics of the
Loans in the related portfolio, it 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 Loans; the proposed
structure; decrement tables; or similar information (tabular or otherwise) of
a statistical, mathematical, tabular or computational nature. The
Computational Materials are attached hereto as Exhibit 99.1.
Item 7. Financial Statements, Pro Forma Financial
- ---- -----------------------------------------
Information and Exhibits.
------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
MERRILL LYNCH MORTGAGE INVESTORS, INC.
By: /s/ Brodie Johnson
----------------------------------
Name: Brodie Johnson
Title: Vice President
Dated: March 9, 2000
Exhibit Index
Exhibit
99.1 Computational Materials
Exhibit 99.1
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
ABS New Transaction
Computational Materials
-----------------------
$385,098,000 (Approx.)
Sequoia Mortgage Trust 4
Sequoia Mortgage Funding Corporation
Seller
Merrill Lynch Mortgage Investors, Inc.
Depositor
Merrill Lynch Credit Corporation
Master Servicer
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 1
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- -------------------------------------------------------------------------------
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) 449-3659.
Please be advised that asset-backed securities may not be appropriate for all
investors. Potential investors must be willing to assume, among other things,
market price volatility, prepayments, yield curve and interest rate risk.
Investors should fully consider the risk of an investment in these securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 2
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
Class A Certificates
Size: $385,098,000 (Approx.)
Coupon (Actual/360) (1): LIBOR + [ ]
Expected Ratings (Moody's/S&P): Aaa/AAAr
Avg. Life - to call: 3.93 Years
CPR: 20%
Principal Begin (mo.): 1
Expected Final - to 10% call (mo.): 121
Expected Final - to 10% call: April, 2010
Maximum Pass-Through Rate (2): 11.780%
(as of the Cut-off Date)
Anticipated Pool Scheduled Balance: $388,988,044
(as of the Closing Date)
(1) The coupon shall be the lesser of (i) the calculated Pass Through Rate
(ii) 11.780% and (iii) the Weighted Average Net Coupon, as described
herein.
(2) Equals the weighted average gross lifetime rate cap for the Mortgage
Loans purchased on the Closing Date less the Servicing Fee Rate, the
Trustee Fee Rate and Certificate Insurance Policy Premium.
Seller: Sequoia Mortgage Funding Corporation
Depositor: Merrill Lynch Mortgage Investors, Inc.
Series: Sequoia Mortgage Trust 4, Mortgage Loan Asset
Backed Pass-Through Certificates, Class A
Master Servicer: Merrill Lynch Credit Corporation
Lead Manager: Merrill Lynch & Co.
Co Managers: Bear, Stearns & Co. Inc., Greenwich Capital
Markets, Inc., Morgan Stanley Dean Witter
Cut-off Date: Feburary 1, 2000 (or the date of origination,
if later).
Exp. Pricing: Week of March 6, 2000.
Exp. Settlement: On or about March 21, 2000.
Distribution Date: 22nd of each month, or 1st business day
thereafter, beginning April 24, 2000
Tax Status: REMIC
Trustee: Norwest Bank Minnesota, N.A.
Certificate Insurer: Ambac Assurance Corporation ("Ambac")
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 3
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
Structure:
Credit Enhancement: Class A Certificates will be supported by
100% insurance provided by a Certificate Insurance
Policy issued by Ambac, which is non-cancelable, in
favor of the Trustee covering timely interest at
the Pass-Through Rate and ultimate principal
payment of the Class A balance. The Certificate
Insurance policy will not cover prepayment interest
shortfalls, Civil Relief Act shortfalls or basis
risk shortfalls.
Class A Certificates will also be supported by 1.00%
Class B Certificates. In addition, excess servicing
is available to cover losses on the Mortgage Loans,
as well as the limited purpose surety bond for any
losses on the additional collateral securing the
Additional Collateral Loans.
Principal Payments: Principal payments will be payable on the Class A
Certificates on each Distribution Date in an amount
equal to the Class A Principal Distribution Amount
for such Distribution Date.
Mortgage Rate: Each Mortgage Loan has an interest rate that adjusts
either a) monthly to a spread over 1 Month LIBOR,
or b) semi-annually to a spread over 6 Month LIBOR.
The Mortgage Loans have lifetime rate caps but no
periodic rate caps.
Pass-Through Rate: The Class A Pass-Through Rate for any Distribution
Date will equal the lesser of (i) One Month LIBOR as
of the second LIBOR Business Day prior to the
preceding Distribution Date plus [___]%(ii) 11.780%
and (iii) the Weighted Average Net Coupon (defined
as the weighted average mortgage rate for the
mortgage loans less the Servicing Fee Rate and the
Certificate Insurance Policy Premium, together not
more than 0.50%). Additional interest may be payable
on the Class A Certificates in excess of the
Weighted Average Net Coupon to the extent of
available funds on deposit in the Carryover Reserve
Fund.
On each Distribution Date that occurs 120 days or
more after the 10% Optional Termination may be
exercised by the Certificate Insurer, the Class A
Pass-Through Rate will be the lesser of (i) One
Month LIBOR plus [___]% (ii) 11.780% and (iii) the
Weighted Average Net Coupon.
Priority of Payments: After payments of Servicing Fees, Trustee Fees and
Certificate Insurance Premiums (i) to the Class A
holders: interest, any undistributed interest
shortfalls, plus basis risk shortfalls to the extent
of available funds in the Carryover Reserve Fund;
(ii) to the Class A holders: Class A Principal
Distribution Amount; (iii) to the Certificate
Insurer: unreimbursed payments, fees and expenses;
(iv) to the Class B holders: interest, any
undistributed interest shortfalls, plus basis risk
shortfalls to the extent of available funds in the
Carryover Reserve fund; (v) to the Class B holders:
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 4
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
Class B Principal Distribution Amount; (vi) to the
Class A holders: Excess Cash Flow Principal Amount;
(vii) to the Class B holders: Class B loss amounts
reimbursement; (viii) to the Carryover Reserve Fund:
Carryover Reserve Fund Deposit; (ix) to the Class C
and Class R: sequentially, in that order, any
remaining cash.
Convertible Loans: Convertible Mortgage Loans (which account for
0.41% of the Pool Balance at the Closing Date) allow
the borrower to convert from an adjustable rate
either to a fixed rate or to a different Index (and
thereafter to a fixed rate). Index Convertible
Mortgage Loans (which account for 100% of the Pool
Balance at the Closing Date) allow the borrower to
convert the Index to a different Index. The Indices
and Margins to which a borrower may convert are
described in the Prospectus Supplement. The
frequency of the Interest Adjustment Date may not be
changed in connection with such conversion.
The [Class RLT Certificate Holders] have the right
to purchase any Mortgage Loan that converts to a
fixed rate or to another Index.
Advances: The Master Servicer is obligated to make advances
of cash, which will be included with mortgage
collections, in an amount equal to the delinquent
monthly payments due on the immediately preceding
monthly payment date. The Master Servicer is under
no obligation to make advances to the extent it
determines such advances are not recoverable from
future payments or collections on the related
Mortgage Loan or to guarantee or insure against
losses.
Optional Termination: The Class RLT Certificateholder may, at its option,
either (1) repurchase from the trust fund all
Mortgage Loans remaining outstanding or (2)
purchase, in whole but not in part, all outstanding
Certificates, in either case when the aggregate
outstanding principal balance of the Mortgage Loans
is 20% or less of the aggregate unpaid principal
balance of the Mortgage Loans as of the Cut-off
Date. In the absence of the exercise of such
repurchase option by the Class RLT
Certificateholder, the Certificate Insurer may, at
its option, repurchase from the trust fund all
mortgage loans remaining outstanding when the
aggregate outstanding principal balance of the
Mortgage Loans is 10% or less of the aggregate
unpaid principal balance of the Mortgage Loans as of
the Cut-off Date.
SMMEA: Class A Certificates will constitute "mortgage
related securities" for purposes of SMMEA.
ERISA: Class A Certificates will be eligible for purchase
by ERISA plans subject to the satisfaction of the
conditions of the underwriter's exemption. Any plan
should consult with counsel before making a
purchase.
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 5
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
Certificate Ratings: It is a condition to the issuance of the Class A
Certificates that the Class A Certificates be rated
"AAAr" by Standard & Poor's Ratings Services and
"Aaa" by Moody's Investors Service, Inc. Standard &
Poor's assigns the additional symbol of "r" to
highlight classes of securities that Standard &
Poor's believes may experience high volatility or
high variability in expected returns due to
non-credit risks; however, the absence of an "r"
symbol should not be taken as an indication that a
class will exhibit no volatility or variability in
total return. The ratings of Standard & Poor's and
Moody's for the Class A Certificates will not
represent any assessment of the Master Servicer's
ability to purchase Mortgage Loans that convert to a
fixed rate. If the Master Servicer or the Seller
does not purchase such converting fixed rate
Mortgage Loans that it has the option to purchase as
described herein, the Class A Certificateholders
might experience a lower than anticipated yield on
their certificates.
A security rating is not a recommendation to buy,
sell or hold securities and may be subject to
revision or withdrawal at any time by the assigning
rating agency. A security rating does not address
the frequency of prepayments on the Mortgage Loans
or the corresponding effect on yield to investors.
Material Federal Income
Tax Consequences: For federal income tax purposes, the trust fund
(exclusive of the rights in the additional
collateral and the Carryover Reserve Fund) will
comprise multiple real estate mortgage investment
conduits, organized in a tiered REMIC structure. The
Class A Certificates, Class B Certificates and Class
C Certificates will represent beneficial ownership
of REMIC "regular interests" in the upper tier REMIC
identified in the Pooling and Servicing Agreement.
The Class R and RLT Certificates will each represent
the beneficial ownership of the sole class of
"residual interest" in each REMIC.
The Mortgage Loans: The Mortgage Pool will consist of high balance,
adjustable rate mortgage loans secured by one- to
four-family residential properties. The Mortgage
Loans to be transferred to the trust fund on the
Closing Date will constitute the "Mortgage Loans."
Generally, high balance mortgage loans are loans
whose initial principal balances exceed, and in
certain cases substantially exceed, the maximum
initial principal balance of mortgage loans eligible
to be purchased by Fannie Mae or Freddie Mac.
Certain of the Mortgage Loans may have initial
principal balances below such thresholds.
Substantially all of the Mortgage Loans were
originated by the Master Servicer in the ordinary
course of its real estate lending activities or
acquired by it in the course of its correspondent
lending activities.
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 6
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
Additional Collateral
Loans: Loans that have an LTV in excess of 80% are, in
general, also either (i) secured by a security
interest in additional collateral (normally
securities) owned by the borrower (such loans being
referred to as "Mortgage 100SM Loans") or (ii)
supported by a third party guarantee (usually a
parent of the borrower), which in turn is secured by
a security interest in collateral (normally
securities) or by a lien on residential real estate
of the guarantor and/or supported by the right to
draw on a home equity line of credit extended by
MLCC to the guarantor (such loans being referred to
as "Parent Power(R)Loans"). Such loans are also
collectively referred to herein as "Additional
Collateral Loans." The amount of such additional
collateral generally does not exceed 30% of the loan
amount, although the amount of the additional
collateral may exceed 30% of the loan amount if the
original principal amount of the loan exceeds
$1,000,000.
The following statistics relate to the approximately $388,988,044 of Mortgage
Loans expected to be transferred to the Trust Fund on the Closing Date.
<TABLE>
<CAPTION>
<S> <C> <C>
Outstanding Principal Balance $388,988,044
Number of Loans 913
Weighted Average Mortgage Rate 7.613%
Weighted Average Remaining Term 289 months
Weighted Average LTV at Origination 82.92%
Weighted Average Constructive LTV 66.17%
Weighted Average Credit Score(1) 725
Average Current Principal Balance $426,055
Maximum Principal Balance $2,000,000
Occupancy Owner-Occupied: 80.98%
Second Home: 13.78%
Investment Property 5.25%
Property Type Single Family 62.86%
Planned Unit Development (Single Family) 26.66%
Condominium: 7.93%
2-4 Family: 1.44%
Cooperative: 1.10%
Loan Purpose Purchase: 70.80%
Cash-out Refinance: 22.93%
Refinance: 6.27%
Largest State concentrations: CA - 19.18%
FL - 12.15%
NY - 9.86%
GA - 6.72%
TX - 6.17%
NJ - 5.15%
</TABLE>
(1) FICO Scores excluding loans with a zero FICO score.
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 7
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
Collateral Index and Adjustment Frequency
<TABLE>
<CAPTION>
% Weighted
Adj. of Gross Average
Index Freq. Pool WAC Gross Margin
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
One Month LIBOR Index Monthly 68.82% 7.524% 1.734%
Six Month LIBOR Index Semi-Annually 31.18 7.808 1.905
----- ----- -----
Total/Weighted Average 100.00% 7.613% 1.787%
======= ====== ======
</TABLE>
<TABLE>
<CAPTION>
Class A Average Life Sensitivity (to 10% call)
CPR
5% 10% 15% 20% 25% 30%
-- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C>
Avg. Life (yrs.) 11.31 7.51 5.27 3.93 3.06 2.46
Exp. Final Maturity (mos.) 253 205 156 121 96 77
</TABLE>
<TABLE>
<CAPTION>
Class A Average Life Sensitivity (to 20% call)
CPR
5% 10% 15% 20% 25% 30%
-- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C>
Avg. Life (yrs.) 10.92 6.98 4.82 3.52 2.73 2.19
Exp. Final Maturity (mos.) 221 160 117 86 67 54
</TABLE>
<TABLE>
<CAPTION>
Class A Average Life Sensitivity (to maturity)
CPR
5% 10% 15% 20% 25% 30%
-- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C>
Avg. Life (yrs.) 11.43 7.76 5.57 4.20 3.29 2.66
Exp. Final Maturity (mos.) 286 279 259 225 188 158
</TABLE>
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 8
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Geographical Distribution of Mortgaged Properties
Number of Percent by
Initial Cut-off Date
Mortgage Cut-off Date Principal
State or Territory Loans Principal Balance Balance
---------------------------------------------------------------------------------------
<S> <C> <C> <C>
California 124 $74,617,916.70 19.18%
Florida 110 47,245,909.98 12.15
New York 77 38,363,866.36 9.86
Georgia 73 26,146,480.00 6.72
Texas 64 24,013,348.98 6.17
New Jersey 42 20,028,958.37 5.15
Other 423 158,571,563.13 40.77
--------------------------------------------------------------------------------------
Total 913 $388,988,043.52 100.00%
</TABLE>
(1) "Other" includes 42 other states, the District of Columbia and the Virgin
Islands with under 0.50% concentration individually.
<TABLE>
<CAPTION>
Range of Cut-off Date Principal Balances
Number of Percent by
Initial Cut-off Date
Range of Cut-off Date Principal Mortgage Cut-off Date Principal
Balances Loans Principal Balance Balance
---------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 25,000.00 2 $33,147.70 0.01%
25,000.01 - 50,000.00 7 274,520.54 0.07
50,000.01 - 75,000.00 20 1,304,107.91 0.34
75,000.01 - 100,000.00 40 3,560,345.74 0.92
100,000.01 - 200,000.00 194 29,781,890.30 7.66
200,000.01 - 300,000.00 156 39,819,067.50 10.24
300,000.01 - 400,000.00 152 53,606,240.47 13.78
400,000.01 - 500,000.00 88 40,212,508.20 10.34
500,000.01 - 600,000.00 69 38,400,490.24 9.87
600,000.01 - 700,000.00 42 27,582,093.80 7.09
700,000.01 - 800,000.00 33 25,246,299.10 6.49
800,000.01 - 900,000.00 24 20,678,007.39 5.32
900,000.01 - 1,000,000.00 35 33,969,360.14 8.73
1,000,000.01 - 1,500,000.00 35 45,747,494.34 11.76
1,500,000.01 - 2,000,000.00 16 28,772,470.15 7.40
---------------------------------------------------------------------------------------
Total 913 $388,988,043.52 100.00%
</TABLE>
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 9
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Range of Original Constructive Loan-to-Value Ratios(1)
Number of Percent by
Initial Cut-off Date
Range of Original Constructive Mortgage Cut-off Date Principal
Loan-to-Value Ratios Loans Principal Balance Balance
-------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.00 - 10.00 3 $734,952.84 0.19%
10.01 - 20.00 6 1,908,208.37 0.49
20.01 - 30.00 8 2,829,224.35 0.73
30.01 - 40.00 16 8,616,703.57 2.22
40.01 - 50.00 106 37,637,259.96 9.68
50.01 - 60.00 64 35,061,118.29 9.01
60.01 - 70.00 505 220,874,457.95 56.78
70.01 - 75.00 58 29,394,914.14 7.56
75.01 - 80.00 126 46,366,698.56 11.92
80.01 - 85.00 3 1,095,091.67 0.28
85.01 - 90.00 7 1,882,787.43 0.48
90.01 - 95.00 11 2,586,626.39 0.66
-------------------------------------------------------------------------------------
Total 913 $388,988,043.52 100.00%
</TABLE>
(1) Constructive Loan-to-Value is calculated as (i) the original loan amount
less the amount of any required Additional Collateral, generally 30%,
divided by (ii) the appraised value of the mortgaged property at
origination, or if the loan is a purchase money mortgage, the lesser of
the appraised value and the purchase price of the mortgaged property.
<TABLE>
<CAPTION>
Range of Original Loan-to-Value Ratios
Number of Percent by
Initial Cut-off Date Cut-off Date
Range of Original Loan-to-Value Mortgage Principal Principal
Ratios Loans Balance Balance
----------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 10.00 1 $249,952.84 0.06%
10.01 - 20.00 6 1,908,208.37 0.49
20.01 - 30.00 7 1,829,224.35 0.47
30.01 - 40.00 16 8,616,703.57 2.22
40.01 - 50.00 38 16,037,754.08 4.12
50.01 - 60.00 50 26,726,313.45 6.87
60.01 - 70.00 87 49,190,714.35 12.65
70.01 - 75.00 56 27,059,266.93 6.96
75.01 - 80.00 132 45,213,873.77 11.62
80.01 - 85.00 12 5,382,475.18 1.38
85.01 - 90.00 30 11,800,415.57 3.03
90.01 - 95.00 42 19,521,429.54 5.02
95.01 - 100.00 432 172,866,494.49 44.44
100.01 - 102.41 4 2,585,217.03 0.66
----------------------------------------------------------------------------------
Total 913 $388,988,043.52 100.00%
</TABLE>
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 10
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Occupancy Status
Number of Percent by
Initial Cut-off Date
Mortgage Cut-off Date Principal
Status Loans Principal Balance Balance
------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Owner Occupied 731 $314,997,083.71 80.98%
Second Home 111 53,586,001.86 13.78
Investment Property 71 20,404,957.95 5.25
------------------------------------------------------------------------------------------------
Total 913 $388,988,043.52 100.00%
</TABLE>
<TABLE>
<CAPTION>
Mortgaged Properties
Number of Percent by
Initial Cut-off Date
Mortgage Cut-off Date Principal
Property Type Loans Principal Balance Balance
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Single Family 534 $244,533,771.17 62.86%
Planned Unit Development (Single Family) 249 103,712,429.58 26.66
Condominium 98 30,839,412.81 7.93
Cooperative 16 4,285,826.38 1.10
2-4 Family 16 5,616,603.58 1.44
--------------------------------------------------------------------------------------------------
Total 913 $388,988,043.52 100.00%
</TABLE>
<TABLE>
<CAPTION>
Range of Current Mortgage Rates
Number of Percent by
Initial Cut-off Date
Mortgage Cut-off Date Principal
Range of Current Mortgage Rates Loans Principal Balance Balance
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
6.250 - 6.499 1 $880,000.00 0.23%
6.500 - 6.749 2 2,025,000.00 0.52
6.750 - 6.999 8 3,802,570.41 0.98
7.000 - 7.249 65 46,176,283.05 11.87
7.250 - 7.499 112 47,697,639.02 12.26
7.500 - 7.749 373 143,425,330.68 36.87
7.750 - 7.999 184 80,318,072.01 20.65
8.000 - 8.249 80 34,451,000.25 8.86
8.250 - 8.499 65 24,129,185.12 6.20
8.500 - 8.749 13 4,331,303.89 1.11
8.750 - 8.999 5 973,899.99 0.25
9.000 - 9.249 5 777,759.10 0.20
--------------------------------------------------------------------------------------------------
Total 913 $388,988,043.52 100.00%
</TABLE>
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 11
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Loan Purpose
Number of Percent by
Initial Cut-off Date
Mortgage Cut-off Date Principal
Loan Purpose Loans Principal Balance Balance
------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Purchase 673 $275,401,716.19 70.80%
Cash-Out Refinance(1) 175 89,195,558.85 22.93
Rate and Term Refinance 65 24,390,768.48 6.27
------------------------------------------------------------------------------------------------
Total 913 $388,988,043.52 100.00%
</TABLE>
(1) MLCC categorizes as cash-out refinance mortgage loans those loans in
respect of which the cash taken out by the mortgagor exceeded the sum of
(i) closing costs and points, (ii) funds applied to pay off a subordinate
loan that was outstanding at least one year and (iii) an amount equal to
1% of the principal amount of such new loan.
<TABLE>
<CAPTION>
Maximum Mortgage Rate
Number of Percent by
Initial Cut-off Date
Mortgage Cut-off Date Principal
Maximum Mortgage Rates Loans Principal Balance Balance
------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
12.000 - 12.249 525 $220,374,312.41 56.65%
12.250 - 12.499 121 59,083,215.46 15.19
12.500 - 12.749 113 49,500,789.44 12.73
12.750 - 12.999 68 28,939,151.05 7.44
13.000 - 13.249 66 26,740,665.96 6.87
13.250 - 13.499 13 3,172,546.77 0.82
13.500 - 13.749 5 995,399.99 0.26
13.750 - 13.999 1 110,000.00 0.03
14.000 - 14.249 1 71,962.44 0.02
------------------------------------------------------------------------------------------------
Total 913 $388,988,043.52 100.00%
</TABLE>
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 12
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Remaining Terms to Stated Maturity
Number of
Initial Cut-off Date Percent by
Remaining Terms to Stated Mortgage Principal Cut-off Date
Maturity in Months Loans Balance Principal Balance
------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
266 1 $295,919.58 0.08%
267 1 212,115.59 0.05
268 1 514,432.75 0.13
269 1 2,000,000.00 0.51
270 4 529,897.10 0.14
271 5 1,425,135.23 0.37
272 4 2,313,650.10 0.59
273 5 1,536,375.99 0.39
274 6 2,972,663.00 0.76
275 4 796,729.60 0.20
276 7 1,954,864.53 0.50
277 4 1,780,634.39 0.46
278 31 9,733,901.61 2.50
279 37 17,499,278.08 4.50
280 31 17,444,508.32 4.48
281 38 24,140,497.67 6.21
282 19 9,488,715.35 2.44
283 21 10,200,083.55 2.62
284 14 7,545,650.29 1.94
285 13 8,990,954.15 2.31
286 9 5,207,848.17 1.34
287 12 5,815,088.15 1.49
288 14 6,971,669.78 1.79
289 18 9,740,563.95 2.50
290 39 20,964,988.75 5.39
291 33 18,123,345.64 4.66
292 50 26,730,321.59 6.87
293 82 34,626,772.36 8.90
294 85 36,874,932.01 9.48
295 105 31,844,648.75 8.19
296 116 39,184,834.86 10.07
297 103 31,527,022.63 8.10
------------------------------------------------------------------------------------------------
Total 913 $388,988,043.52 100.00%
</TABLE>
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 13
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Next Interest Rate Adjustment Date for All Initial Mortgage Loans
Percent by
Number of Initial Mortgage Cut-off Date Cut-off Date
Month of Next Adjustment Date Loans Principal Balance Principal Balance
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
April, 2000 695 $288,087,467.48 74.06%
May, 2000 48 21,631,605.48 5.56
June, 2000 33 15,240,352.74 3.92
July, 2000 55 29,235,603.65 7.52
August, 2000 39 19,098,243.67 4.91
September, 2000 43 15,694,770.50 4.03
---------------------------------------------------------------------------------------------------
Total 913 $388,988,043.52 100.00%
</TABLE>
<TABLE>
<CAPTION>
Next Interest Rate Adjustment Date for
Six Month LIBOR Index Initial Mortgage Loans
Percent by
Number of Initial Mortgage Cut-off Date Cut-off Date
Month of Next Adjustment Date Loans Principal Balance Principal Balance
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
April, 2000 51 $22,041,018.14 18.17%
May, 2000 48 21,631,605.48 17.83
June, 2000 32 13,603,552.74 11.21
July, 2000 55 29,235,603.65 24.10
August, 2000 39 19,098,243.67 15.74
September, 2000 43 15,694,770.50 12.94
-------------------------------------------------------------------------------------------------
Total 268 $121,304,794.18 100.00%
</TABLE>
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 14
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Credit Scores
Percent by
Number of Initial Mortgage Cut-off Date Cut-off Date
Range of Credit Scores Loans Principal Balance Principal Balance
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Not Available 11 $3,779,224.62 0.97%
500 - 599 20 8,666,056.18 2.23
600 - 619 10 5,019,504.45 1.29
620 - 639 29 14,018,771.29 3.60
640 - 659 59 24,104,989.19 6.20
660 - 679 47 19,006,803.36 4.89
680 - 699 85 38,173,209.89 9.81
700 - 719 108 54,461,313.38 14.00
720 - 739 112 50,011,472.36 12.86
740 - 759 132 54,852,880.37 14.10
760 - 779 138 55,123,726.41 14.17
780 - 799 131 48,804,451.58 12.55
800 or greater 31 12,965,640.44 3.33
---------------------------------------------------------------------------------------------
Total 913 $388,988,043.52 100.00%
</TABLE>
<TABLE>
<CAPTION>
One-Month LIBOR Index Initial Mortgage Loan Margin
Percent by
Number of Initial Mortgage Cut-off Date Cut-off Date
Margin Loans Principal Balance Principal Balance
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.625 1 $880,000.00 0.33%
0.750 1 625,000.00 0.23
1.000 4 2,252,475.00 0.84
1.125 1 416,125.00 0.16
1.250 13 7,403,747.87 2.77
1.375 47 36,915,556.45 13.79
1.500 15 9,567,904.62 3.57
1.625 93 35,633,865.49 13.31
1.750 304 105,711,693.75 39.49
1.875 24 12,501,061.31 4.67
2.000 25 9,017,912.44 3.37
2.125 89 36,897,793.87 13.78
2.250 15 8,108,902.07 3.03
2.375 5 1,039,709.73 0.39
2.500 2 273,121.98 0.10
2.625 4 296,417.32 0.11
2.750 2 141,962.44 0.05
--------------------------------------------------------------------------------------------------
Total 645 $267,683,249.34 100.00%
</TABLE>
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 15
Merrill Lynch Computational Materials for Sequoia Mortgage Trust 4
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six-Month LIBOR Index Initial Mortgage Loan Margin
Number of Percent by
Initial Cut-off Date Cut-off Date
Margin Mortgage Loans Principal Balance Principal Balance
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1.000 1 $592,359.00 0.49%
1.250 1 374,999.99 0.31
1.375 1 1,225,000.00 1.01
1.500 33 16,266,312.71 13.41
1.625 19 12,223,802.73 10.08
1.750 37 18,518,295.35 15.27
1.875 75 32,824,419.30 27.06
2.000 19 7,325,248.39 6.04
2.125 11 6,278,240.07 5.18
2.250 49 16,170,204.64 13.33
2.375 3 892,099.98 0.74
2.500 8 2,630,100.33 2.17
2.625 2 766,811.70 0.63
2.750 3 2,046,100.00 1.69
2.875 5 1,770,799.99 1.46
3.125 1 1,400,000.00 1.15
-----------------------------------------------------------------------------------------------
Total 268 $121,304,794.18 100.00%
</TABLE>
FOR ADDITIONAL INFORMATION PLEASE CALL:
Asset Backed Finance Group
Rob DiOrio (212) 449-1646
Ken Mulford (212) 449-0752
Anojja Persad (212) 449-3780
Vu Nguyen (212) 449-1955
Neeraj Tulshan (212) 449-5494
ABS Trading & Syndicate
Scott Soltas (212) 449-3659
Terrence Mack (212) 449-3659
Brian Kane (212) 449-3659
ABS Research
Chris Flanagan (212) 449-1655
Ryan Asato (212) 449-9622
- ---------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do
not use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in
the Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and
will be superseded by the information set forth in the final prospectus
supplement. 16
