================================================================================
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) September 16, 1996
SUPERIOR BANK FSB (as depositor under the Pooling and Servicing Agreement, dated
as of September 1, 1996, providing for the issuance of AFC Mortgage Loan Asset
Backed Certificates, Series 1996-3)
Superior Bank FSB
-------------------------------------------------------
(Exact name of registrant as specified in its charter)
United States 333-4492 36-1414142
- ---------------------------- ------------------- -----------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification Number)
One Lincoln Centre
Oakbrook Terrace, Illinois 60181
- -------------------------- ------------------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (708) 916-4000
================================================================================
<PAGE>
-2-
Item 5. Other Events.
On or about September 25, 1996, the Registrant will cause the issuance and
sale of approximately $240,000,000 initial principal amount of AFC Mortgage Loan
Asset Backed Certificates, Series 1996-3, Class 1A-1, Class 1A-2, Class 1A-3,
Class 1A-4, Class 1A-5, Class 1A-6, Class 2A and Class R (collectively, the
"Certificates") pursuant to a Pooling and Servicing Agreement to be dated as of
September 1, 1996, among the Registrant, Lee Servicing Company, a division of
the Registrant, as servicer and LaSalle National Bank as trustee.
In connection with the sale of AFC Mortgage Loan Asset Backed Certificates,
Series 1996-3, Class 1A-1, Class 1A-2, Class 1A-3, Class 1A-4, Class 1A-5, Class
1A-6 and Class 2A (collectively, the "Underwritten Certificates"), the
Registrant has been advised by Merrill Lynch, Pierce, Fenner & Smith
Incorporated and J.P. Morgan Securities Inc. (together, the "Underwriters") that
the Underwriters have furnished to prospective investors certain yield tables
and other computational materials, collateral term sheets and structural term
sheets (the "Computational Materials") with respect to the Underwritten
Certificates following the effective date of Registration Statement No.
333-4492, which Computational Materials are being filed as exhibits to this
report.
The information in the Computational Materials will 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 were prepared by the Underwriters at the
request of certain prospective investors, based on collateral information
provided by the Registrant and 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 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 the Underwritten Certificates.
<PAGE>
-3-
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-
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
SUPERIOR BANK FSB
By:/s/ William C. Bracken
---------------------------------------
Name: William C. Bracken
Title: Senior Vice President
and Chief Financial Officer
Dated: September 16, 1996
<PAGE>
-5-
EXHIBIT INDEX
Exhibit No. Description Page
- ----------- ----------- -----
1 Computational Materials 6
EXHIBIT 1
MERRILL LYNCH COMPUTATIONAL MATERIALS
================================================================================
COMPUTATIONAL MATERIALS, COLLATERAL TERM SHEET AND STRUCTURAL
TERM SHEET DATED SEPTEMBER 13, 1996
AFC MORTGAGE LOAN ASSET BACKED CERTIFICATES, SERIES 1996-3
$240,000,000 (APPROXIMATE)
Subject to Revision
DEPOSITOR: Superior Bank FSB, will deposit into the Trust Fund mortgage loans
originated or purchased by the Depositor.
SERVICER: The Lee Servicing Company division of the Depositor
TRUSTEE: LaSalle National Bank
UNDERWRITER: Merrill Lynch & Co. (Lead) and JP Morgan & Co. (Co.)
<TABLE>
<CAPTION>
Ratings Beg. Amort. End Amort.
Class Amount (Moody's/S&P) WAL (Mo./Date) (Mo./Date)
- ------ ------ ------------- --- ----------- ------------
<S> <C> <C> <C> <C> <C>
To Maturity:
1A-1 $67,000,000 Aaa/AAA 1.52 1 (10/96) 33 (6/99)
1A-2 $10,500,000 Aaa/AAA 3.02 33 (6/99) 39 (12/99)
1A-3 $25,250,000 Aaa/AAA 4.00 39 (12/99) 58 (7/01)
1A-4 $9,500,000 Aaa/AAA 5.29 58 (7/01) 69 (6/02)
1A-5 $26,250,000 Aaa/AAA 7.52 69 (6/02) 122 (11/06)
1A-6 $11,500,000 Aaa/AAA 12.79 122 (11/06) 205 (10/13)
To Maturity:
2A-1 $90,000,000 Aaa/AAA 3.49 1 (10/96) 362 (11/26)
To Call:
1A-6 $11,500,000 Aaa/AAA 11.59 122 (11/06) 144 (9/08)
2A-1 $90,000,000 Aaa/AAA 3.33 1 (10/96) 129 (6/07)
</TABLE>
CUT-OFF DATE: September 1, 1996
EXP. PRICING: Week of September 16, 1996
EXP. SETTLEMENT: Week of September 23, 1996
STATED FINAL
MATURITY: December 25, 2027
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
INTEREST/
PRINCIPAL: The 25th day of each month (or if such 25th day is not a
business day, the next succeeding business day),
commencing on October 25, 1996.
SMMEA: The Class 1A Certificates will not be SMMEA eligible.
The Class 2A Certificates will not be SMMEA eligible until
such time as the balance of the Adjustable Rate Pool
Pre-Funding Account is reduced to zero.
ERISA: The Class 1A and 2A Certificates will not be ERISA
eligible until such time as the balance of each respective
Sub Pool Pre-Funding Account is reduced to zero.
TAX STATUS: On the Closing Date, a REMIC election will be made with
respect to certain assets of the Trust.
COLLATERAL: Sub Pool 1: conventional, fixed-rate mortgage loans
secured by first or second liens on one-to four-family
residential properties ("Single Family Properties"),
residential properties consisting of five or more dwelling
units ("Multifamily Properties") and mixed residential and
commercial structures ("Mixed Use Properties") plus
Sub-Pool 1 pre-funding account. Sub Pool 2: conventional,
adjustable rate mortgage loans secured by first liens on
Single Family Properties, Multifamily Properties and
Condominiums indexed to 1-Year CMT and 6 Month LIBOR plus
Sub-Pool 2 pre-funding account.
CREDIT
ENHANCEMENT: Overcollateralization and Cross Collateralization of the
sub pools, plus 100% FGIC Guarantee of timely receipt of
interest on the Class A Certificates and ultimate receipt
of principal on the Class A Certificates.
2
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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>
INITIAL
OVERCOLLATERALIZATION: Credit Enhancement with respect to the Class 1A
AND 2A Certificates will be provided in part by the
Initial Overcollateralization Amount for Sub-Pool 1 and
Sub-Pool 2 resulting from the sum of each respective
Original Sub-Pool Principal Balance and Original
Sub-Pool Pre-Funded Amount exceeding the initial
respective Certificate Principal Balance as of the
Closing Date.
CROSS
COLLATERALIZATION: On any Remittance Date prior to the related Cross-Over
Date on which the Overcollateralization Amount for a
Sub-Pool is less than the Required Overcollateralization
Amount for such Sub-Pool, the Remaining Net Excess
Spread for such Sub-Pool plus the Available Transfer
Cashflow, if any, and the Net Excess Principal, if any,
will be used to make additional distributions of
principal on the related Classes of Class A Certificates
until such Overcollateralization Amount equals the
related Required Overcollateralization Amount for such
Sub-Pool.
PRE-FUNDING ACCOUNTS:
Original Sub-Pool 1 Pre-Funding Amount: $57,955,886.82 (approximate)
Original Sub-Pool 2 Pre-Funding Amount: $35,337,717.00 (approximate)
The Original Sub-Pool 1 and Original Sub-Pool 2 Pre-Funding Amounts will be
reduced during the Funding Period (approx. 2 months) by the amounts thereof used
to purchase the related Subsequent Mortgage Loans. Any amount remaining at the
end of the Funding Period in Sub-Pool 1 and Sub-Pool 2 Pre-Funding Accounts will
be used to prepay principal pro rata to the Class 1A and Class 2A Certificates,
respectively.
3
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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>
SUPPLEMENTAL INTEREST:
On any Remittance Date through April 25, 1997 or such other date as specified in
the Prospectus, Holders of the Class 2A Certificates will be entitled to
supplemental payments of interest (the "Supplemental Interest"), pursuant to a
Cap Agreement in an amount equal to the excess of (1) the amount of interest
calculated at the Class 2A Pass-Through Rate without giving effect to the
Available Funds Cap Rate, over (2) the amount of interest otherwise due to the
Holders of the Class 2A Certificates calculated at the Class 2A Pass-Through
Rate after giving effect to the Available Funds Cap Rate.
INTEREST DISTRIBUTIONS:
Class 1A Certificates:
On each Remittance Date, interest will be paid on each class of the Class 1A
Certificates in an amount equal to 30 days' interest at the related Class 1A
Pass-Through Rate on the related Class 1A Principal Balance thereof.
CLASS 1A INTEREST
CERTIFICATE ACCRUAL P-T RATE SETTLEMENT
- ----------- -------- -------- ----------
1A-1 Actual/360 Variable(1) W/O Accrued
1A-2 30/360 Fixed W/ Accrued
1A-3 30/360 Fixed W/ Accrued
1A-4 30/360 Fixed W/ Accrued
1A-5 30/360 Fixed W/ Accrued
1A-6 30/360 Fixed W/ Accrued
(1) Interest will accrue at the Class 1A-1 Pass-Through Rate from the preceding
Remittance Date (or from the Closing Date in the case of the first Remittance
Date) to and including the day prior to the current Remittance Date on the
outstanding principal balance of the Class 1A-1 Certificates. The Class 1A-1
Pass Through Rate will be equal to the least of (1) One-Month LIBOR plus [ ] per
annum%, (2) the weighted average of the Sub-Pool 1 Mortgage Rates minus the sum
of, with respect to Sub-Pool 1, (a) the Servicing Fee Rate, (b) the rate at
which the Annual Trustee Expense Amount is calculated and (c) the rate at which
monthly premiums are payable to the Certificate Insurer (approximately 0.81),
and (3) 10% or such other rate as specified in the Prospectus (the "Class 1A-1
Cap Rate").
4
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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>
Class 2A-1 Certificates:
Prior to the availability of the 5% clean-up call (as defined below):
On each Remittance Date, interest will accrue at the Class 2A-1 Pass-Through
Rate from the preceding Remittance Date (or from the Closing Date in the case of
the first Remittance Date) to and including the day prior to the current
Remittance Date on the outstanding principal balance of the Class 2A-1
Certificates. All calculations of interest on the Class 2A-1 Certificates will
be computed on the basis of the actual number of days elapsed in the related
interest period and in a year of 360 days. The Class 2A-1 Pass Through Rate will
be equal to the least of (1) [ ]% (the "Class 2A-1 Cap Rate"),(2) One-Month
LIBOR plus [ ]% per annum and (3) the weighted average of the Sub-Pool 2
Mortgage Rates minus the sum of, with respect to Sub-Pool 2, (a) the Servicing
Fee Rate, (b) the rate at which the Annual Trustee Expense Amount is calculated,
(c) the rate at which monthly premiums are payable to the Certificate Insurer
and (d) with respect to Remittance Dates occurring on the twelfth Remittance
Date, 0.65% per annum, the thirteenth Remittance Date, 0.70% and thereafter,
0.85% (the "Available Funds Cap Rate").
After the availability of the 5% cleanup call the Class 2A-1 Pass-Through Rate
will increase on and after the date on which the 5% clean-up call becomes
available but is not exercised, subject to the Available Funds Cap Rate.
PRINCIPAL DISTRIBUTIONS:
The Class 1A Certificates:
The Class 1A Certificates will receive payments of principal from the Sub Pool 1
Mortgage Loans as follows: first to the Class 1A-1 Certificates until their
respective Certificate Balance has been reduced to zero; second to the Class
1A-2 Certificates until their respective Certificate Balance has been reduced to
zero; third to the Class 1A-3 Certificates until their respective Certificate
Balance has been reduced to zero; fourth to the Class 1A-4 Certificates until
their respective Certificate Balance has been reduced to zero; fifth to the
Class 1A-5 Certificates until their respective Certificate Balance has been
reduced to zero; sixth to the Class 1A-6 Certificates until their respective
Certificate Balance has been reduced to zero.
5
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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>
The Class 2A-1 Certificates will receive payments of principal from Sub Pool 2
Mortgage Loans concurrently with the Class 1A Certificates' receipt of payments
of principal from Sub Pool 1.
Excess Spread from each Sub Pool will generally be allocated first to the
respective Sub Pool's Certificates, second to the other Sub Pool's Certificates,
third to any accrued and unpaid trustee expense amount and fourth to reach and
maintain each respective Sub Pool's Required Overcollateralization Amount.
Excess Principal from one Sub Pool may be allocated to the other Sub Pool to
maintain the Required Overcollateralization Amount.
OPTIONAL TERMINATION/5% CLEANUP CALL:
On any Remittance Date on which the outstanding aggregate principal balance of
the Mortgage Loans in a Sub-Pool is less than 5% of the sum of the Original
Sub-Pool Principal Balance and the Original Pre-Funded Amount relating to each
Sub-Pool as of the Cut-off Date.
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>
MORTGAGE POOL CHARACTERISTICS
Sub Pool 1 (Fixed Rate as of September 1, 1996):
- ------------------------------------------------
Initial Home Equity Loan Principal Balance: $93,528,661.75
Properties secured by 1st/2nd Liens: 67.36%/32.64%
Weighted Average Coupon: 11.58%
Weighted Average CLTV: 76.52%
Weighted Average Rem. Term: 219 mos
Weighted Average Original Term: 220 mos
Geographic Distribution: 24 States and D.C.
States w/ >5% Concentrations: NY-25.09%, UT-
9.39%, CO-8.37%,
PA 7.86%,FL-7.10%,
IL-6.80%,NJ-6.75%
Balloons (30's due in 15): 46.08%
Occupancy-
Owner Occupied: 94.05%
Investor Owned: 5.95%
Property Type-
Condominium: 0.91%
Mixed use: 1.41%
Multi Family: 1.89%
Single Family: 84.77%
2-4 Family: 11.02%
Loan Purpose-
Purchase: 19.21%
Refinance: 9.49%
Cashout: 71.30%
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>
Sub Pool 2 (Adjustable Rate as of September 1, 1996):
- -----------------------------------------------------
Initial Home Equity Loan Principal Balance: $56,969,975.31
Weighted Average Coupon: 9.96%
Weighted Average Lifetime Cap: 15.95%
Weighted Average Lifetime Floor: 9.95%
Weighted Average Gross Margin: 6.21%
Negative Amortization: [None]
Weighted Average Rem. Term: 359 mos.
Weighted Average Original Term: 360 mos
Properties secured by 1st Liens: 100.00%
Weighted Average CLTV: 78.36%
Geographic Distribution: 22 States
States w/ >5% Concentrations: NY-18.42%,NJ-
17.15%,IL-
11.33%,CO-9.46%,
MI-6.64%,UT-6.38%
Balloons: 0%
Occupancy-
Owner Occupied: 98.47%
Investor: 1.53%
Property Type-
Condominium: 1.56%
Single Family: 86.68%
Multi-Family: 11.76%
Loan Purpose-
Purchase: 48.89%
Refinance: 5.53%
Cashout: 45.58%
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>
FIXED RATE CERTIFICATE PREPAYMENT ASSUMPTION:
With respect to the Fixed Rate Certificates, a 100% Prepayment Assumption
assumes constant prepayment rates (CPR) of 2% per annum of the then outstanding
principal balance of the Mortgage Loans in Sub-Pool 1 in the first month of the
life of the mortgage loans and an additional 1% per annum each month thereafter
until the twenty-first month. Beginning in the twenty-first month and in each
month thereafter during the life of the mortgage loans 100% Prepayment
Assumption assumes a constant prepayment rate of 22% per annum each month.
CLASS 1A CERTIFICATE PREPAYMENT SENSITIVITY ANALYSIS:
(assuming 50 bps losses):
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class A-1 WAL (yrs.) 9.82 2.37 1.52 1.21 1.03
Class A-1 Exp. Beg. Am. 1 1 1 1 1
Class A-1 Exp. End. Am. 178 57 33 25 21
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class A-2 WAL (yrs.) 14.83 5.23 3.02 2.23 1.84
Class A-2 Exp. Beg. Am. 178 57 33 25 21
Class A-2 Exp. End. Am. 178 68 39 29 23
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class A-3 WAL (yrs.) 14.99 7.14 4.00 2.86 2.26
Class A-3 Exp. Beg. Am. 178 68 39 29 23
Class A-3 Exp. End. Am. 182 106 58 41 32
9
</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>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class A-4 WAL (yrs.) 15.24 9.57 5.29 3.67 2.84
Class A-4 Exp. Beg. Am. 182 106 58 41 32
Class A-4 Exp. End. Am. 189 124 69 47 37
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class A-5 WAL (yrs.) 17.98 13.07 7.52 5.11 3.85
Class A-5 Exp. Beg. Am. 189 124 69 47 37
Class A-5 Exp. End. Am. 239 181 122 82 61
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class A-6 WAL (yrs.) 20.57 16.80 12.79 8.89 6.53
Class A-6 Exp. Beg. Am. 239 181 122 82 61
Class A-6 Exp. End. Am. 255 248 205 167 122
(5% CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class A-6 WAL (yrs.) 20.37 15.46 11.59 7.80 5.73
Class A-6 Exp. Beg. Am. 239 181 122 82 61
Class A-6 Exp. End. Am. 246 188 144 97 71
</TABLE>
CLASS 2A CERTIFICATE PREPAYMENT ASSUMPTION:
Prepayment Scenarios:
- ---------------------
Scenario 1: 0% Constant prepayment rate.
Scenario 2: 18% Constant prepayment rate.
Scenario 3: 24% Constant prepayment rate.
Scenario 4: 30% Constant prepayment rate.
Scenario 5: 36% Constant prepayment rate.
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>
<TABLE>
<CAPTION>
CLASS 2A CERTIFICATE PREPAYMENT SENSITIVITY ANALYSIS:
(assuming 0 bps losses):
(NO CLEAN-UP CALL)
<S> <C> <C> <C> <C> <C>
SCENARIO (1) 1 2 3 4 5
- - - - -
CPR 0% 18% 24% 30% 36%
Class 2A-1 WAL (yrs.) 21.93 4.70 3.49 2.72 2.20
Class 2A-1 Exp. Beg. Am. 1 1 1 1 1
Class 2A-1 Exp. End. Am. 362 362 362 362 362
(5% CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
CPR 0% 18% 24% 30% 36%
Class 2A-1 WAL (yrs.) 21.92 4.51 3.33 2.59 2.10
Class 2A-1 Exp. Beg. Am. 1 1 1 1 1
Class 2A-1 Exp. End. Am. 355 174 129 100 81
</TABLE>
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>
<TABLE>
<CAPTION>
------------------------------------
FIXED RATE LOAN (INCLUDING BALLOONS)
------------------------------------
Report Profile: AFC963F SuperCrack Portfolio Summary Code File: AFC963
=====================================================================================================================
POOL TOTALS GROSS COUPON WTD AVG RMNG TERM
- --------------------------- AVERAGE ---------------------- ------------------- [WTDAV]
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1,536 $93,528,662 $60,891 11.577 8.550 15.900 218.8 220.4
=====================================================================================================================
</TABLE>
=====================================================
STATE REPORT LOANS CURRENT BAL %POOL
- -----------------------------------------------------
AZ 63 3,213,640 3.44
CA 25 2,528,154 2.70
CO 171 7,826,141 8.37
CT 64 3,771,240 4.03
DC 1 70,850 0.08
DE 9 327,236 0.35
FL 141 6,644,941 7.10
GA 18 1,418,029 1.52
ID 1 19,659 0.02
IL 93 6,356,198 6.80
IN 15 1,030,540 1.10
MD 62 4,060,960 4.34
MI 16 827,094 0.88
NC 30 1,352,192 1.45
NJ 69 6,317,083 6.75
NM 18 1,472,554 1.57
NV 7 524,711 0.56
NY 261 23,463,248 25.09
OH 25 1,532,260 1.64
OR 41 2,396,388 2.56
PA 140 7,350,966 7.86
UT 219 8,778,499 9.39
VA 5 230,450 0.25
WA 38 1,787,519 1.91
WI 4 228,110 0.24
=====================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- -----------------------------------------------------
120 33 974,539 1.04
180 1,119 64,103,473 68.54
182 6 104,299 0.11
240 201 10,552,453 11.28
360 177 17,793,898 19.03
=====================================================
REMAINING TERM LOANS CURRENT BAL %POOL
- -----------------------------------------------------
108.01- 120.00 33 974,539 1.04
156.01- 168.00 1 93,236 0.10
168.01- 180.00 1,121 64,063,627 68.50
180.01- 240.00 204 10,603,362 11.34
240.01- 360.00 177 17,793,898 19.03
WTD AVERAGE: 218.78
=====================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- -----------------------------------------------------
0.01- 10000.00 7 69,961 0.07
10000.01- 20000.00 225 3,551,505 3.80
20000.01- 30000.00 258 6,543,254 7.00
30000.01- 40000.00 224 7,901,399 8.45
40000.01- 50000.00 169 7,664,738 8.19
50000.01- 60000.00 129 7,185,025 7.68
60000.01- 70000.00 93 6,101,629 6.52
70000.01- 80000.00 73 5,508,465 5.89
80000.01- 90000.00 48 4,102,686 4.39
90000.01- 100000.00 47 4,468,972 4.78
100000.01- 110000.00 39 4,092,580 4.38
110000.01- 120000.00 49 5,659,677 6.05
120000.01- 130000.00 30 3,757,064 4.02
130000.01- 140000.00 21 2,851,319 3.05
140000.01- 150000.00 22 3,186,428 3.41
150000.01- 160000.00 19 2,953,489 3.16
160000.01- 170000.00 14 2,306,901 2.47
170000.01- 180000.00 16 2,808,381 3.00
180000.01- 190000.00 8 1,481,166 1.58
190000.01- 200000.00 11 2,158,965 2.31
200000.01- 250000.00 23 5,147,701 5.50
250000.01- 300000.00 4 1,120,889 1.20
300000.01- 350000.00 3 996,377 1.07
400000.01- 450000.00 1 432,491 0.46
450000.01- 500000.00 3 1,477,600 1.58
=====================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
- -----------------------------------------------------
2-4 FAMILY 110 10,303,909 11.02
CONDO 15 853,714 0.91
MUTI-FAMILY 12 1,767,013 1.89
MIXED USE 7 1,321,874 1.41
SINGLE FAMILY 1,392 79,282,151 84.77
=====================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
- -----------------------------------------------------
OWNER OCCUPIED 1,460 87,962,067 94.05
NON-OWNER OCCUPIED 76 5,566,595 5.95
=====================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
- -----------------------------------------------------
CASHOUT 1,240 66,688,442 71.30
PURCHASE 164 17,961,920 19.21
REFINANCE 132 8,878,300 9.49
=====================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
- -----------------------------------------------------
8.500- 8.749 1 127,039 0.14
8.750- 8.999 1 89,911 0.10
9.000- 9.249 8 424,870 0.45
9.250- 9.499 13 1,137,784 1.22
9.500- 9.749 37 3,059,933 3.27
9.750- 9.999 67 6,118,922 6.54
10.000- 10.249 32 1,932,578 2.07
10.250- 10.499 68 4,862,931 5.20
10.500- 10.749 84 6,920,941 7.40
10.750- 10.999 120 9,729,006 10.40
11.000- 11.249 79 5,975,361 6.39
11.250- 11.499 102 5,152,252 5.51
11.500- 11.749 127 6,737,072 7.20
11.750- 11.999 122 8,861,094 9.47
12.000- 12.249 97 5,710,680 6.11
12.250- 12.499 103 4,257,639 4.55
12.500- 12.749 107 4,767,084 5.10
12.750- 12.999 114 5,303,688 5.67
13.000- 13.249 37 2,444,516 2.61
13.250- 13.499 57 2,838,026 3.04
13.500- 13.749 35 2,141,276 2.29
13.750- 13.999 59 2,707,042 2.89
14.000- 14.249 14 579,790 0.62
14.250- 14.499 12 283,508 0.30
14.500- 14.749 11 331,733 0.36
14.750- 14.999 10 467,602 0.50
15.000- 15.249 6 159,217 0.17
15.250- 15.499 8 264,656 0.28
15.500- 15.749 4 106,765 0.11
15.750- 15.999 1 35,746 0.04
WTD AVERAGE: 11.577
=====================================================
LIEN POSITION LOANS CURRENT BAL %POOL
- -----------------------------------------------------
1 674 63,001,300 67.36
2 862 30,527,362 32.64
- --------------------------------------------------------------------------------
Active Filter: AMORT="AR" V0.32
12
<PAGE>
<TABLE>
<CAPTION>
------------------------------------
FIXED RATE LOAN (INCLUDING BALLOONS)
------------------------------------
Report Profile: AFC963F SuperCrack Portfolio Summary Code File: AFC963
=====================================================================================================================
POOL TOTALS GROSS COUPON WTD AVG RMNG TERM
- --------------------------- AVERAGE ---------------------- ------------------- [WTDAV]
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1,536 $93,528,662 $60,891 11.577 8.550 15.900 218.8 220.4
=====================================================================================================================
</TABLE>
=====================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
- -----------------------------------------------------
AA 194 12,114,305 12.95
ANIV 292 20,883,834 22.33
I 427 24,194,877 25.87
II 182 11,352,095 12.14
III 119 7,571,641 8.09
IIISE 88 5,761,634 6.16
IV 187 8,859,083 9.47
IVPI 31 1,812,293 1.94
V 16 978,900 1.05
=====================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
- -----------------------------------------------------
5.01- 10.00 1 17,500 0.02
10.01- 15.00 7 237,742 0.25
15.01- 20.00 6 175,764 0.19
20.01- 25.00 3 67,860 0.07
25.01- 30.00 7 265,400 0.28
30.01- 35.00 15 861,561 0.92
35.01- 40.00 17 836,681 0.90
40.01- 45.00 17 892,381 0.95
45.01- 50.00 29 2,218,206 2.37
50.01- 55.00 29 2,036,641 2.18
55.01- 60.00 37 2,764,019 2.96
60.01- 65.00 62 5,060,055 5.41
65.01- 70.00 121 8,101,554 8.66
70.01- 75.00 138 8,714,340 9.32
75.01- 80.00 334 21,027,457 22.48
80.01- 85.00 359 21,675,293 23.18
85.01- 90.00 354 18,576,209 19.86
WTD AVERAGE: 76.52
- --------------------------------------------------------------------------------
Active Filter: AMORT="AR" V0.32
13
<PAGE>
<TABLE>
<CAPTION>
----------------
ADJUSTABLE LOANS
----------------
Report Profile: B SuperCrack Portfolio Summary Code File: AFC963
=================================================================================================
POOL TOTALS GROSS COUPON RMNG TRM
- ------------------------- AVERAGE ----------------------- ------------- WTDAV
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
479 $56,969,975 $118,935 9.963 7.500 13.375 358.6 360.0
=================================================================================================
=================================================================================================
MARGIN LIFE CAP LIFE FLOOR
- ----------------------- ------------------------------- -------------------------------
WTDAV MIN MAX WTDAVG MIN MAX %0 WTDAVG MIN MAX %0
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6.213 3.750 8.500 15.951 13.500 18.500 100
=================================================================================================
</TABLE>
=====================================================
STATE REPORT LOANS CURRENT BAL %POOL
- -----------------------------------------------------
AZ 27 2,842,718 4.99
CA 5 1,001,931 1.76
CO 36 5,389,972 9.46
CT 23 2,561,431 4.50
FL 8 748,662 1.31
GA 9 1,154,097 2.03
IL 61 6,456,824 11.33
IN 2 81,169 0.14
KY 2 255,420 0.45
MD 9 910,010 1.60
MI 49 3,782,433 6.64
MN 1 104,824 0.18
NC 5 329,410 0.58
NJ 63 9,769,782 17.15
NM 6 641,201 1.12
NV 1 103,964 0.18
NY 72 10,493,011 18.42
OH 26 2,107,799 3.70
OR 8 1,160,435 2.04
PA 18 1,576,513 2.77
UT 36 3,636,603 6.38
WA 12 1,861,765 3.27
=====================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- -----------------------------------------------------
360 479 56,969,975 100.00
=====================================================
REMAINING TERM LOANS CURRENT BAL %POOL
- -----------------------------------------------------
349.00 1 223,873 0.39
351.00 1 65,412 0.11
353.00 1 148,378 0.26
354.00 1 108,618 0.19
356.00 7 806,575 1.42
357.00 11 1,553,448 2.73
358.00 150 18,362,509 32.23
359.00 237 28,008,792 49.16
360.00 70 7,692,370 13.50
=====================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
- -----------------------------------------------------
CONDO 12 890,686 1.56
MUTI-FAMILY 56 6,696,256 11.76
SINGLE FAMILY 411 49,383,034 86.68
=====================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- -----------------------------------------------------
10000.01- 20000.00 2 39,991 0.07
20000.01- 30000.00 8 216,972 0.38
30000.01- 40000.00 15 531,821 0.93
40000.01- 50000.00 17 775,621 1.36
50000.01- 60000.00 35 1,961,130 3.44
60000.01- 70000.00 39 2,553,237 4.48
70000.01- 80000.00 44 3,324,825 5.84
80000.01- 90000.00 41 3,510,336 6.16
90000.01- 100000.00 44 4,229,349 7.42
100000.01- 110000.00 30 3,172,023 5.57
110000.01- 120000.00 34 3,938,950 6.91
120000.01- 130000.00 25 3,137,094 5.51
130000.01- 140000.00 24 3,270,702 5.74
140000.01- 150000.00 21 3,069,031 5.39
150000.01- 160000.00 9 1,398,874 2.46
160000.01- 170000.00 9 1,496,158 2.63
170000.01- 180000.00 7 1,230,731 2.16
180000.01- 190000.00 10 1,856,894 3.26
190000.01- 200000.00 8 1,564,397 2.75
200000.01- 250000.00 29 6,579,613 11.55
250000.01- 300000.00 14 3,847,455 6.75
300000.01- 350000.00 7 2,305,277 4.05
350000.01- 400000.00 3 1,162,287 2.04
400000.01- 450000.00 3 1,305,761 2.29
450000.01- 500000.00 1 491,446 0.86
=====================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
- -----------------------------------------------------
OWNER OCCUPIED 467 56,100,865 98.47
NON-OWNER OCCUPIED 12 869,110 1.53
=====================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
- -----------------------------------------------------
CASHOUT 233 25,965,906 45.58
PURCHASE 216 27,853,394 48.89
REFINANCE 30 3,150,676 5.53
=====================================================
LIEN POSITION LOANS CURRENT BAL %POOL
- -----------------------------------------------------
1 479 56,969,975 100.00
=====================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
- -----------------------------------------------------
7.500- 7.749 13 1,797,900 3.16
7.750- 7.999 3 367,718 0.64
8.000- 8.249 5 382,019 0.67
8.250- 8.499 18 1,986,409 3.49
8.500- 8.749 14 1,840,003 3.23
8.750- 8.999 35 4,305,705 7.56
9.000- 9.249 30 4,333,037 7.60
9.250- 9.499 17 1,771,040 3.11
9.500- 9.749 55 6,497,597 11.40
9.750- 9.999 68 7,348,044 12.90
10.000- 10.249 31 3,345,413 5.87
10.250- 10.499 35 4,937,343 8.67
10.500- 10.749 40 5,274,774 9.26
10.750- 10.999 23 2,683,465 4.71
11.000- 11.249 17 1,686,978 2.96
11.250- 11.499 40 3,891,692 6.83
11.500- 11.749 8 1,070,262 1.88
11.750- 11.999 11 1,272,366 2.23
12.000- 12.249 10 1,428,263 2.51
12.250- 12.499 4 597,329 1.05
12.500- 12.749 1 44,000 0.08
13.250- 13.499 1 108,618 0.19
WTD AVERAGE: 9.963
=====================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
- -----------------------------------------------------
AA 47 6,012,107 10.55
ANIV 124 16,773,781 29.44
I 89 10,569,763 18.55
II 46 4,888,004 8.58
III 41 4,807,695 8.44
IV 94 8,536,876 14.99
SE 17 3,027,237 5.32
V 21 2,354,510 4.13
- -------------------------------------------------------------------------------
Active Filter: AMORT="AR" V0.32
14
<PAGE>
<TABLE>
<CAPTION>
----------------
ADJUSTABLE LOANS
----------------
Report Profile: B SuperCrack Portfolio Summary Code File: AFC963
=================================================================================================
POOL TOTALS GROSS COUPON RMNG TRM
- ------------------------- AVERAGE ----------------------- ------------- WTDAV
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
479 $56,969,975 $118,935 9.963 7.500 13.375 358.6 360.0
=================================================================================================
=================================================================================================
MARGIN LIFE CAP LIFE FLOOR
- ----------------------- ------------------------------- -------------------------------
WTDAV MIN MAX WTDAVG MIN MAX %0 WTDAVG MIN MAX %0
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6.213 3.750 8.500 15.951 13.500 18.500 100
=================================================================================================
</TABLE>
=====================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
- -----------------------------------------------------
15.01- 20.00 1 29,987 0.05
25.01- 30.00 1 80,000 0.14
30.01- 35.00 3 134,950 0.24
35.01- 40.00 6 322,434 0.57
40.01- 45.00 5 396,212 0.70
45.01- 50.00 7 474,748 0.83
50.01- 55.00 12 1,051,162 1.85
55.01- 60.00 13 1,382,328 2.43
60.01- 65.00 21 2,741,402 4.81
65.01- 70.00 30 3,174,121 5.57
70.01- 75.00 61 7,909,500 13.88
75.01- 80.00 133 15,652,339 27.47
80.01- 85.00 105 13,766,599 24.16
85.01- 90.00 81 9,854,193 17.30
WTD AVERAGE: 78.36
- -------------------------------------------------------------------------------
Active Filter: AMORT="AR" V0.32
15
<PAGE>
<TABLE>
<CAPTION>
----------------------
ADJUSTABLE LOANS LIBOR
----------------------
Report Profile: LIBOR SuperCrack Portfolio Summary Code File: AFC963
=================================================================================================
POOL TOTALS GROSS COUPON RMNG TRM
- ------------------------- AVERAGE ----------------------- ------------- WTDAV
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
264 $31,522,787 $119,404 10.018 7.500 12.500 358.5 360.0
=================================================================================================
=================================================================================================
MARGIN LIFE CAP LIFE FLOOR
- ----------------------- ------------------------------- -------------------------------
WTDAV MIN MAX WTDAVG MIN MAX %0 WTDAVG MIN MAX %0
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6.326 3.750 8.500 16.004 13.500 18.500 100
=================================================================================================
</TABLE>
=====================================================
PERIODIC CAP (LIBOR) LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ="6"
* * * all loans meet subfilter criteria * * *
1.000 264 31,522,787 100.00
=====================================================
MARGIN REPORT (LIBOR) LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ=" 6"
* * * all loans meet subfilter criteria * * *
3.750- 3.999 7 797,993 2.53
4.000- 4.249 1 139,000 0.44
4.250- 4.499 2 113,922 0.36
4.500- 4.749 12 880,284 2.79
4.750- 4.999 3 313,836 1.00
5.000- 5.249 16 1,350,470 4.29
5.250- 5.499 12 1,113,928 3.53
5.500- 5.749 17 2,998,234 9.51
5.750- 5.999 30 2,613,302 8.29
6.000- 6.249 23 3,186,697 10.11
6.250- 6.499 24 3,192,667 10.13
6.500- 6.749 16 2,279,693 7.23
6.750- 6.999 30 3,820,913 12.12
7.000- 7.249 21 2,479,818 7.87
7.250- 7.499 4 404,764 1.28
7.500- 7.749 17 1,620,496 5.14
7.750- 7.999 13 2,141,379 6.79
8.000- 8.249 6 815,046 2.59
8.250- 8.499 9 1,040,718 3.30
8.500- 8.749 1 219,627 0.70
WTD AVERAGE: 6.326
=====================================================
NEXT RATE CHANGE (LIBOR LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ=" 6"
* * * all loans meet subfilter criteria * * *
11/01/1996 5 646,543 2.05
12/01/1996 11 1,591,379 5.05
01/01/1997 80 10,169,749 32.26
02/01/1997 133 15,152,193 48.07
03/01/1997 34 3,739,050 11.86
04/01/1997 1 223,873 0.71
=====================================================
LIFECAP REPORT LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ="6"
* * * all loans meet subfilter criteria * * *
13.500- 13.749 6 737,993 2.34
13.750- 13.999 3 367,718 1.17
14.000- 14.249 4 266,175 0.84
14.250- 14.499 12 880,149 2.79
14.500- 14.749 6 1,004,666 3.19
14.750- 14.999 18 2,471,495 7.84
15.000- 15.249 12 1,613,382 5.12
15.250- 15.499 11 1,144,561 3.63
15.500- 15.749 36 4,371,688 13.87
15.750- 15.999 39 4,861,580 15.42
16.000- 16.249 14 1,483,191 4.70
16.250- 16.499 15 1,931,968 6.13
16.500- 16.749 20 2,429,171 7.71
16.750- 16.999 17 1,983,900 6.29
17.000- 17.249 10 984,924 3.12
17.250- 17.499 16 1,521,706 4.83
17.500- 17.749 5 831,562 2.64
17.750- 17.999 9 1,046,890 3.32
18.000- 18.249 7 1,077,105 3.42
18.250- 18.499 3 468,963 1.49
18.500- 18.749 1 44,000 0.14
WTD AVERAGE: 16.004
- --------------------------------------------------------------------------------
Active Filter: AMORT="AR" AND RFREQ="6" V0.32
16
<PAGE>
<TABLE>
<CAPTION>
----------------------
ADJUSTABLE LOANS LIBOR
----------------------
Report Profile: CMT SuperCrack Portfolio Summary Code File: AFC963
=================================================================================================
POOL TOTALS GROSS COUPON RMNG TRM
- ------------------------- AVERAGE ----------------------- ------------- WTDAV
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
215 $25,447,188 $118,359 9.894 7.500 13.375 358.8 360.0
=================================================================================================
=================================================================================================
MARGIN LIFE CAP LIFE FLOOR
- ----------------------- ------------------------------- -------------------------------
WTDAV MIN MAX WTDAVG MIN MAX %0 WTDAVG MIN MAX %0
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6.074 3.750 8.500 15.886 13.500 18.250 100
=================================================================================================
</TABLE>
=====================================================
PERIODIC CAP (CMT) LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ="12"
* * * all loans meet subfilter criteria * * *
2.000 215 25,447,188 100.00
=====================================================
LIFECAP (CMT) LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ="12"
* * * all loans meet subfilter criteria * * *
13.500- 13.749 7 1,059,907 4.17
14.000- 14.249 1 115,844 0.46
14.250- 14.499 6 1,106,260 4.35
14.500- 14.749 8 835,337 3.28
14.750- 14.999 18 1,899,621 7.46
15.000- 15.249 18 2,719,655 10.69
15.250- 15.499 6 626,480 2.46
15.500- 15.749 20 2,349,782 9.23
15.750- 15.999 28 2,421,052 9.51
16.000- 16.249 17 1,862,222 7.32
16.250- 16.499 21 3,153,753 12.39
16.500- 16.749 19 2,621,730 10.30
16.750- 16.999 6 699,565 2.75
17.000- 17.249 7 702,054 2.76
17.250- 17.499 24 2,330,226 9.16
17.500- 17.749 3 238,700 0.94
17.750- 17.999 2 225,476 0.89
18.000- 18.249 3 351,159 1.38
18.250- 18.499 1 128,365 0.50
WTD AVERAGE: 15.886
=====================================================
NEXT RATE CHANGE (CMT) LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ="12"
* * * all loans meet subfilter criteria * * *
11/01/1996 2 160,032 0.63
12/01/1996 1 27,481 0.11
01/01/1997 70 8,192,760 32.19
02/01/1997 105 13,004,977 51.11
03/01/1997 36 3,953,320 15.53
09/01/1997 1 108,618 0.43
=====================================================
MARGIN REPORT (CMT) LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ="12"
* * * all loans meet subfilter criteria * * *
3.750- 3.999 5 833,314 3.27
4.500- 4.749 8 1,107,339 4.35
4.750- 4.999 7 1,007,955 3.96
5.000- 5.249 19 1,693,361 6.65
5.250- 5.499 19 3,236,273 12.72
5.500- 5.749 8 734,381 2.89
5.750- 5.999 18 2,011,767 7.91
6.000- 6.249 26 1,929,125 7.58
6.250- 6.499 21 2,688,799 10.57
6.500- 6.749 21 3,122,038 12.27
6.750- 6.999 25 2,483,491 9.76
7.000- 7.249 3 391,965 1.54
7.250- 7.499 5 488,592 1.92
7.500- 7.749 17 2,020,675 7.94
7.750- 7.999 5 698,451 2.74
8.000- 8.249 2 297,520 1.17
8.250- 8.499 4 479,342 1.88
8.500- 8.749 2 222,800 0.88
WTD AVERAGE: 6.074
- --------------------------------------------------------------------------------
Active Filter: AMORT="AR" AND RFREQ="12" V0.32
17
<PAGE>
The preceding tables and other statistical analyses (the "Computational
Materials") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are furnished to you solely by
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not by
the issuer of the securities or any of its affiliates. The issuer of these
securities has not prepared or taken part in the preparation of these materials.
Neither Merrill Lynch, the issuer of the securities nor any of its affiliates
makes any representation as to the accuracy or completeness of the information
herein. The collateral information set forth herein supercedes all previously
distributed collateral information relating to this transaction and will itself
be superceded by the information contained in the final prospectus and
prospectus supplement. The information herein is preliminary, and will be
subsequently filed with the Securities and Exchange Commission. They may not be
provided to any third party other than the addressee's legal, tax, financial
and/or accounting advisors for the purposes of evaluating said material.
Numerous assumptions were used in preparing the Computational Material
which may or may not be stated therein. As such, no assurance can be given as to
the accuracy, appropriateness or completeness of the Computational Materials in
any particular context; or as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be construed
as either projections or predictions or as legal, tax, financial or accounting
advice.
Any yields or weighted average lives shown in the Computational Materials
are based on prepayment assumptions and actual prepayment experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower or
faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the securities may differ from those shown in the
Computational Materials due to differences between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the Computational
Materials are subject to change prior to issuance.
18
- --------------------------------------------------------------------------------
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>
Although a registration statement (including the prospectus) relating to
the securities discussed in this communication has been filed with the
Securities and Exchange Commission and is effective, the final prospectus
supplement relating to the securities discussed in this communication has not
been filed with the Securities and Exchange Commission. This communication shall
not constitute an offer to sell or the solicitation of an offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitations or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for
definitive Computational Materials on any matter discussed in this
communication. A final prospectus and prospectus supplement may be obtained by
contacting the Merrill Lynch Trading Desk at (212) 449-3659.
Please be advised that asset-backed securities may not be appropriate for
all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayments, yield curve and interest rate
risk. Investors should fully consider the risk of an investment in these
securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
19
