- -------------------------------------------------------------------------------
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) December 3, 1996
SUPERIOR BANK FSB (as depositor under the Pooling and Servicing Agreement, dated
as of December 1, 1996, providing for the issuance of AFC Mortgage Loan Asset
Backed Certificates, Series 1996-4)
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 December 19, 1996, the Registrant will cause the issuance and
sale of approximately $220,000,000.00 initial principal amount of AFC Mortgage
Loan Asset Backed Certificates, Series 1996-4, Class 1A-1, Class 1A-2, Class
1A-3, Class 1A-4, Class 1A-5, Class 1A-6, Class 1A-7, Class 2A and Class R
(collectively, the "Certificates") pursuant to a Pooling and Servicing Agreement
to be dated as of December 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 1996-4, Class 1A-1, Class 1A-2, Class 1A-3, Class 1A-4, Class 1A-5, Class
1A- 6, Class 1A-7 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,
<PAGE>
-3-
average life, duration, expected maturity, interest rate sensitivity and cash
flow characteristics of the Underwritten Certificates.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Financial Statements.
Not Applicable.
(b) Pro Forma Financial Information.
Not Applicable.
(c) Exhibits
Item 601(a) of
Regulation S-K
Exhibit No. Exhibit No. Description
- ---------- -------------- -----------
1 99 Computational Materials
<PAGE>
-4-
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: December 4, 1996
<PAGE>
-5-
EXHIBIT INDEX
Exhibit No. Description Page
- ----------- ----------- ----
1 Computational Materials 6
EXHIBIT 1
[MERRILL LOGO]
Computational Materials
- --------------------------------------------------------------------------------
AFC Mortgage Loan Asset Backed Certificates, Series 1996-4
$220,000,000 (Approximate)
Subject to Revision
Computational Materials
- --------------------------------------------------------------------------------
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 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. 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 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.
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>
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.)
Ratings Beg. Amort. End Amort.
Class Amount (Moody's/S&P) WAL (Mo./Date) (Mo./Date)
- ----- ------ ------------- --- ---------- ----------
To Maturity:
1A-1 $52,000,000 Aaa/AAA 1.51 1 (1/97) 32 (8/99)
1A-2 $14,000,000 Aaa/AAA 3.05 32 (8/99) 41 (5/00)
1A-3 $14,500,000 Aaa/AAA 4.01 41 (5/00) 55 (7/01)
1A-4 $10,500,000 Aaa/AAA 5.22 55 (7/01) 71 (11/02)
1A-5 $11,500,000 Aaa/AAA 7.02 71 (11/02) 101 (5/05)
1A-6 $12,500,000 Aaa/AAA 11.63 101 (5/05) 201 (9/13)
1A-7 $10,000,000 Aaa/AAA 7.30 37 (1/00) 201 (9/13)
To Maturity:
2A-1 $95,000,000 Aaa/AAA 3.50 1 (1/97) 362 (2/27)
To Call:
1A-6 $12,500,000 Aaa/AAA 10.80 101 (5/05) 144 (12/08)
2A-1 $95,000,000 Aaa/AAA 3.35 1 (1/97) 129 (9/07)
CUT-OFF DATE: December 1, 1996
EXP. PRICING: Week of December 2, 1996
EXP. SETTLEMENT: Week of December 16, 1996
STATED FINAL
MATURITY: March 25, 2028
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 January 25, 1997.
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>
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 (2/97).
ERISA: Subject to the conditions set forth in the prospectus, it is
believed that the Class 1A and 2A Certificates would
generally be ERISA eligible. Prospective purchasers should
consult their counsel.
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, 2-4
Family 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.
INITIAL
OVERCOLLATERAL-
IZATION: 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.
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>
CROSS
COLLATERAL-
IZATION: 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: $51,735,892.30 (approximate)
Original Sub-Pool 2 Pre-Funding Amount: $37,937,128.90 (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.
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
1A-7 30/360 Fixed W/ Accrued
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>
(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").
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 will be backed primarily by cash flow from Sub-Pool 1
Mortgage Loans.
6
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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 $95 MM of Class 2A Certificates will be backed primarily by cash flows from
Sub-Pool 2 Mortgage Loans.
Each Class 1A and Class 2A Certificateholder will receive all scheduled and
unscheduled principal distributions from their respective Sub-Pool until they
are retired. The first six classes of the Class A Certificates will be retired
sequentially, pari passu with the Class A-7 Lock Bond primarily from cash flows
from the Fixed Rate Group.
The transaction will contain a lock out bond (Class 1A-7) which receives no
principal payment for the first three years. After year 3, the Class 1A-7 will
receive the following percentages of its pro rata share of principal:
Month 37-60: 45%
Month 61-72: 80%
Month 73-84: 100%
Month 85+: 140%
The Adjustable Rate Certificates (Class 2A-1) will be retired concurrently with
the Fixed Rate Certificates primarily from cash flows from the Adjustable Rate
Group.
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.
7
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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>
MORTGAGE POOL CHARACTERISTICS
As of 12/1/96 (the "Cut-off Date") Alliance will deliver approximately
$74,501,232 of Sub-Pool 1 Loans.
Sub-Pool 1 (Fixed Rate as of November 23, 1996):
Initial Home Equity Loan Principal Balance: $63,208,775
Properties secured by 1st/2nd Liens: 63.41%/36.59%
Weighted Average Coupon: 11.67%
Weighted Average CLTV: 77.45%
Weighted Average Rem. Term: 214 mos
Weighted Average Original Term: 215 mos
Geographic Distribution: 28 States and D.C.
States w/ >5% Concentrations: NY-31.20%, CT-9.95%,
FL- 7.45%, CO-7.28%,
PA 7.14%, NJ-5.72%,
UT-5.65%
Balloons (30's due in 15): 46.95%
Occupancy-
Owner Occupied: 93.45%
Investor Owned: 6.55%
Property Type-
Condominium: 0.95%
Mixed use: 2.45%
Multi Family: 1.47%
Single Family: 80.67%
2-4 Family: 14.46%
Loan Purpose-
Purchase: 18.72%
Refinance: 15.80%
Cashout: 65.49%
8
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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>
MORTGAGE POOL CHARACTERISTICS (continued)
As of 12/1/96 (the "Cut-off Date") Alliance will deliver approximately
$59,498,769 of Sub-Pool 2 Loans.
Sub-Pool 2 (Adjustable Rate as of November 23, 1996):
Initial Home Equity Loan Principal Balance: $50,480,297
Weighted Average Coupon: 10.20%
Weighted Average Lifetime Cap: 16.20%
Weighted Average Lifetime Floor: 10.11%
Weighted Average Gross Margin: 6.40%
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: 80.14%
Geographic Distribution: 24 States
States w/ >5% Concentrations: NY-29.22%, NJ-
17.11%, CT-9.06%,
IL-8.15%, MI-5.87%,
PA-5.35%
Balloons: 0%
Occupancy-
Owner Occupied: 97.79%
Investor: 2.21%
Property Type-
Condominium: 0.49%
Single Family: 85.57%
2-4 Family: 13.94%
Loan Purpose-
Purchase: 55.26%
Refinance: 8.60%
Cashout: 36.14%
9
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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>
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):
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-1 WAL (yrs.) 9.57 2.29 1.51 1.22 1.05
Class 1A-1 Exp. Beg. Am. 1 1 1 1 1
Class 1A-1 Exp. End. Am. 179 54 32 24 21
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-2 WAL (yrs.) 14.93 5.33 3.05 2.28 1.90
Class 1A-2 Exp. Beg. Am. 179 54 32 24 21
Class 1A-2 Exp. End. Am. 179 74 41 30 25
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-3 WAL (yrs.) 15.09 7.43 4.01 2.84 2.27
Class 1A-3 Exp. Beg. Am. 179 74 41 30 25
Class 1A-3 Exp. End. Am. 182 106 55 38 30
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-4 WAL (yrs.) 15.48 10.08 5.22 3.57 2.76
Class 1A-4 Exp. Beg. Am. 182 106 55 38 30
Class 1A-4 Exp. End. Am. 197 137 71 47 36
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>
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-5 WAL (yrs.) 17.58 13.28 7.02 4.54 3.37
Class 1A-5 Exp. Beg. Am. 197 137 71 47 36
Class 1A-5 Exp. End. Am. 224 179 101 63 46
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-6 WAL (yrs.) 19.61 16.09 11.63 7.55 5.05
Class 1A-6 Exp. Beg. Am. 224 179 101 63 46
Class 1A-6 Exp. End. Am. 245 239 201 167 122
(5% CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-6 WAL (yrs.) 19.46 15.14 10.80 6.89 4.81
Class 1A-6 Exp. Beg. Am. 224 179 101 63 46
Class 1A-6 Exp. End. Am. 237 183 144 97 72
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-7 WAL (yrs.) 13.76 9.25 7.30 6.23 5.52
Class 1A-7 Exp. Beg. Am. 37 37 37 37 37
Class 1A-7 Exp. End. Am. 245 239 201 166 122
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.
11
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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 CERTIFICATE PREPAYMENT SENSITIVITY ANALYSIS:
(assuming 0 bps losses):
(NO CLEAN-UP CALL)
SCENARIO (1) 1 2 3 4 5
- - - - -
CPR 0% 18% 24% 30% 36%
Class 2A-1 WAL (yrs.) 21.89 4.72 3.50 2.74 2.21
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.) 21.88 4.53 3.35 2.61 2.11
Class 2A-1 Exp. Beg. Am. 1 1 1 1 1
Class 2A-1 Exp. End. Am. 356 174 129 100 81
12
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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.
Merrill Lynch Mortgage Capital, Inc.
Portfolio: H:\DATA\DEALS\ALLIANCE\AFC964.DBF
*** Transactions Finance Group ***
12/03/1996 15:41 Page 1
------------------------------------
FIXED RATE LOAN (INCLUDING BALLOONS)
------------------------------------
<TABLE>
<CAPTION>
Report Profile: AFC964F SuperCrack Portfolio Summary Code File: AFC964
======================================================================================================
<- P O O L T O T A L S -> AVERAGE < - - GROSS COUPON - - > <- WTD AVG RMNG TERM -> WTDAV
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD CALCD ORIG L T V
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1,062 $ 63,208,775 $ 59,519 11.667 8.875 15.590 214.0 214.7 77.4
======================================================================================================
</TABLE>
=====================================================
STATE REPORT LOANS CURRENT BAL %POOL
-----------------------------------------------------
AZ 33 1,240,488 1.96
CA 8 565,227 0.89
CO 89 4,603,164 7.28
CT 82 6,286,126 9.95
DC 4 270,632 0.43
DE 4 297,057 0.47
FL 98 4,706,357 7.45
GA 11 519,051 0.82
ID 3 73,437 0.12
IL 55 2,784,849 4.41
IN 14 707,982 1.12
MA 9 284,428 0.45
MD 58 3,155,559 4.99
MI 8 324,719 0.51
MN 4 199,000 0.31
NC 22 1,160,203 1.84
NJ 42 3,617,353 5.72
NM 4 144,826 0.23
NV 8 374,906 0.59
NY 235 19,718,126 31.20
OH 19 890,392 1.41
OR 30 1,510,054 2.39
PA 83 4,511,771 7.14
RI 7 231,959 0.37
SC 4 205,214 0.32
UT 102 3,568,561 5.65
VA 3 235,305 0.37
WA 21 884,931 1.40
WI 2 137,098 0.22
=====================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
-----------------------------------------------------
120 30 921,668 1.46
180 782 45,428,333 71.87
182 2 29,165 0.05
240 137 6,524,870 10.32
360 111 10,304,740 16.30
=====================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
-----------------------------------------------------
CONDO 10 597,861 0.95
MULTI-FAMILY 109 11,617,504 18.38
SINGLE FAMILY 943 50,993,411 80.67
=====================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
-----------------------------------------------------
0.01- 10000.00 5 49,949 0.08
10000.01- 20000.00 156 2,468,512 3.91
20000.01- 30000.00 189 4,740,584 7.50
30000.01- 40000.00 147 5,170,080 8.18
40000.01- 50000.00 121 5,508,258 8.71
50000.01- 60000.00 86 4,787,837 7.57
60000.01- 70000.00 70 4,586,188 7.26
70000.01- 80000.00 49 3,696,411 5.85
80000.01- 90000.00 27 2,306,093 3.65
90000.01- 100000.00 45 4,310,765 6.82
100000.01- 110000.00 30 3,170,437 5.02
110000.01- 120000.00 28 3,234,518 5.12
120000.01- 130000.00 23 2,864,695 4.53
130000.01- 140000.00 17 2,303,724 3.64
140000.01- 150000.00 14 2,027,152 3.21
150000.01- 160000.00 8 1,240,000 1.96
160000.01- 170000.00 7 1,146,206 1.81
170000.01- 180000.00 10 1,752,864 2.77
180000.01- 190000.00 4 736,788 1.17
190000.01- 200000.00 5 987,414 1.56
200000.01- 250000.00 11 2,477,877 3.92
250000.01- 300000.00 4 1,089,150 1.72
300000.01- 350000.00 2 607,600 0.96
350000.01- 400000.00 1 384,708 0.61
400000.01- 450000.00 2 830,964 1.31
700000.01- 750000.00 1 730,000 1.15
=====================================================
REMAINING TERM LOANS CURRENT BAL %POOL
-----------------------------------------------------
108.01- 120.00 25 821,618 1.30
120.01- 132.00 5 100,050 0.16
168.01- 180.00 620 35,382,648 55.98
180.01- 192.00 164 10,074,850 15.94
228.01- 240.00 97 4,622,748 7.31
240.01- 252.00 40 1,902,122 3.01
348.01- 360.00 89 8,344,600 13.20
360.01+ 22 1,960,140 3.10
WTD AVERAGE: 214.00
=====================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
-----------------------------------------------------
OWNER OCCUPIED 1,011 59,067,063 93.45
NON-OWNER OCCUPIED 51 4,141,713 6.55
=====================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
-----------------------------------------------------
8.750- 8.999 2 100,335 0.16
9.000- 9.249 5 310,602 0.49
9.250- 9.499 9 568,226 0.90
9.500- 9.749 14 890,821 1.41
9.750- 9.999 28 2,052,051 3.25
10.000- 10.249 37 2,185,815 3.46
10.250- 10.499 35 2,316,013 3.66
10.500- 10.749 55 4,281,766 6.77
10.750- 10.999 88 6,817,298 10.79
11.000- 11.249 72 4,241,346 6.71
11.250- 11.499 82 5,033,028 7.96
11.500- 11.749 101 5,632,643 8.91
11.750- 11.999 104 5,714,995 9.04
12.000- 12.249 51 3,077,743 4.87
12.250- 12.499 66 4,819,698 7.63
12.500- 12.749 57 2,835,325 4.49
12.750- 12.999 96 4,606,244 7.29
13.000- 13.249 23 1,308,580 2.07
13.250- 13.499 39 2,188,306 3.46
13.500- 13.749 29 1,448,343 2.29
13.750- 13.999 30 1,295,784 2.05
14.000- 14.249 8 400,298 0.63
14.250- 14.499 6 240,016 0.38
14.500- 14.749 7 188,180 0.30
14.750- 14.999 4 208,055 0.33
15.000- 15.249 2 175,848 0.28
15.250- 15.499 6 132,660 0.21
15.500- 15.749 6 138,757 0.22
WTD AVERAGE: 11.667
=====================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
-----------------------------------------------------
PURCHASE 108 11,830,800 18.72
REFINANCE 110 9,985,041 15.80
CASHOUT 844 41,392,935 65.49
=====================================================
LIEN POSITION LOANS CURRENT BAL %POOL
-----------------------------------------------------
1 430 40,080,688 63.41
2 632 23,128,087 36.59
- --------------------------------------------------------------------------------
Active Filter: RFREQ=0 V0.32
13
<PAGE>
Merrill Lynch Mortgage Capital, Inc.
Portfolio: H:\DATA\DEALS\ALLIANCE\AFC964.DBF
*** Transactions Finance Group ***
12/03/1996 15:41 Page 1
Code File: AFC964
------------------------------------
FIXED RATE LOAN (INCLUDING BALLOONS)
------------------------------------
<TABLE>
<CAPTION>
Report Profile: AFC964F SuperCrack Portfolio Summary
======================================================================================================
<- P O O L T O T A L S -> AVERAGE < - - GROSS COUPON - - > <- WTD AVG RMNG TERM -> WTDAV
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD CALCD ORIG L T V
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1,062 $ 63,208,775 $ 59,519 11.667 8.875 15.590 214.0 214.7 77.4
======================================================================================================
</TABLE>
=====================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
-----------------------------------------------------
AA 139 8,262,205 13.07
ANIV 204 14,020,057 22.18
I 334 17,859,475 28.25
II 117 6,696,193 10.59
III 84 4,911,059 7.77
IIISE 39 3,434,470 5.43
IV 100 5,131,047 8.12
IVPI 29 1,942,584 3.07
V 16 951,686 1.51
=====================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
-----------------------------------------------------
10.01- 15.00 1 10,000 0.02
15.01- 20.00 1 29,889 0.05
20.01- 25.00 5 214,908 0.34
25.01- 30.00 5 187,131 0.30
30.01- 35.00 8 232,029 0.37
35.01- 40.00 8 461,299 0.73
40.01- 45.00 8 426,087 0.67
45.01- 50.00 15 993,563 1.57
50.01- 55.00 19 975,538 1.54
55.01- 60.00 40 3,390,160 5.36
60.01- 65.00 47 3,114,582 4.93
65.01- 70.00 76 5,295,304 8.38
70.01- 75.00 86 6,137,765 9.71
75.01- 80.00 219 14,236,664 22.52
80.01- 85.00 213 10,567,498 16.72
85.01- 90.00 311 16,936,359 26.79
WTD AVERAGE: 77.45
- --------------------------------------------------------------------------------
Active Filter: RFREQ=0 V0.32
14
<PAGE>
Merrill Lynch Mortgage Capital, Inc.
Portfolio: H:\DATA\DEALS\ALLIANCE\AFC964.DBF
*** Transactions Finance Group ***
12/03/1996 15:42 Page 1
------------------------
ADJUSTABLE LOANS
------------------------
<TABLE>
<CAPTION>
Report Profile: AFC964A SuperCrack Portfolio Summary Code File: AFC964
=====================================================================================================================
<-P O O L T O T A L S-> AVERAGE <- - GROSS COUPON - -> <-RMNG TRM-> WTDAV <- - M A R G I N - ->
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V WTDAV MIN MAX
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
383 $ 50,480,297 $ 131,802 10.204 7.375 12.625 359.3 360.0 80.1 6.399 3.750 9.000
=====================================================================================================================
</TABLE>
Report Profile: AFC964A SuperCrack Portfolio Summary Code File: AFC964
====================================================================
< - - L I F E C A P - - > <- L I F E F L O O R - >
# LOANS WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------
383 16.204 13.375 18.625 100 10.114 7.375 12.500 100
====================================================================
=====================================================
STATE REPORT LOANS CURRENT BAL %POOL
- -----------------------------------------------------
NY 99 14,751,045 29.22
NJ 58 8,635,632 17.11
CT 33 4,574,483 9.06
IL 37 4,112,752 8.15
MI 28 2,963,472 5.87
PA 25 2,701,253 5.35
AZ 14 1,995,317 3.95
UT 15 1,754,673 3.48
CO 13 1,543,676 3.06
MD 10 1,387,849 2.75
IN 7 1,035,207 2.05
WI 4 671,094 1.33
OH 7 667,350 1.32
GA 5 631,808 1.25
NV 5 567,941 1.13
OR 5 483,949 0.96
FL 4 434,725 0.86
MN 5 433,248 0.86
WA 3 394,959 0.78
MA 1 247,381 0.49
CA 1 201,522 0.40
NC 2 136,400 0.27
KY 1 85,900 0.17
RI 1 68,662 0.14
=====================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- -----------------------------------------------------
360 383 50,480,297 100.00
=====================================================
REMAINING TERM LOANS CURRENT BAL %POOL
- -----------------------------------------------------
348.01- 360.00 183 26,541,479 52.58
360.01+ 200 23,938,818 47.42
WTD AVERAGE: 359.34
=====================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
- -----------------------------------------------------
CONDO 3 248,483 0.49
MULTI-FAMILY 51 7,038,205 13.94
SINGLE FAMILY 329 43,193,609 85.57
=====================================================
LIEN POSITION LOANS CURRENT BAL %POOL
- -----------------------------------------------------
1 383 50,480,297 100.00
=====================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- -----------------------------------------------------
10000.01- 20000.00 1 20,000 0.04
20000.01- 30000.00 5 139,022 0.28
30000.01- 40000.00 9 321,088 0.64
40000.01- 50000.00 10 453,192 0.90
50000.01- 60000.00 13 735,812 1.46
60000.01- 70000.00 31 2,027,659 4.02
70000.01- 80000.00 24 1,830,172 3.63
80000.01- 90000.00 20 1,721,687 3.41
90000.01- 100000.00 31 2,999,521 5.94
100000.01- 110000.00 31 3,298,912 6.54
110000.01- 120000.00 35 4,016,739 7.96
120000.01- 130000.00 26 3,259,462 6.46
130000.01- 140000.00 26 3,525,528 6.98
140000.01- 150000.00 15 2,203,782 4.37
150000.01- 160000.00 17 2,635,158 5.22
160000.01- 170000.00 9 1,475,662 2.92
170000.01- 180000.00 14 2,477,238 4.91
180000.01- 190000.00 6 1,111,297 2.20
190000.01- 200000.00 12 2,365,473 4.69
200000.01- 250000.00 23 5,013,629 9.93
250000.01- 300000.00 9 2,499,560 4.95
300000.01- 350000.00 6 2,001,977 3.97
350000.01- 400000.00 7 2,611,042 5.17
450000.01- 500000.00 2 987,036 1.96
700000.01- 750000.00 1 749,650 1.49
=====================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
- -----------------------------------------------------
OWNER OCCUPIED 373 49,365,579 97.79
NON-OWNER OCCUPIED 10 1,114,718 2.21
=====================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
- -----------------------------------------------------
PURCHASE 208 27,895,462 55.26
REFINANCE 35 4,339,887 8.60
CASHOUT 140 18,244,949 36.14
=====================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
- -----------------------------------------------------
7.250- 7.499 2 377,013 0.75
7.500- 7.749 2 401,519 0.80
7.750- 7.999 2 187,033 0.37
8.000- 8.249 2 176,925 0.35
8.250- 8.499 9 1,139,423 2.26
8.500- 8.749 8 1,072,016 2.12
8.750- 8.999 9 1,010,533 2.00
9.000- 9.249 20 2,336,240 4.63
9.250- 9.499 28 3,543,084 7.02
9.500- 9.749 38 5,512,877 10.92
9.750- 9.999 55 7,666,464 15.19
10.000- 10.249 29 3,844,086 7.62
10.250- 10.499 28 3,633,068 7.20
10.500- 10.749 28 3,505,250 6.94
10.750- 10.999 29 4,108,121 8.14
11.000- 11.249 20 3,039,175 6.02
11.250- 11.499 20 2,791,278 5.53
11.500- 11.749 20 2,712,822 5.37
11.750- 11.999 12 1,331,135 2.64
12.000- 12.249 14 1,269,589 2.52
12.250- 12.499 5 473,348 0.94
12.500- 12.749 3 349,300 0.69
WTD AVERAGE: 10.204
=====================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
- -----------------------------------------------------
AA 36 5,601,584 11.10
ANIV 76 11,881,954 23.54
I 90 11,318,766 22.42
II 38 4,171,770 8.26
III 45 6,165,627 12.21
IV 68 7,365,494 14.59
SE 14 2,524,816 5.00
V 16 1,450,286 2.87
- --------------------------------------------------------------------------------
Active Filter: RFREQ<>0 V0.32
15
<PAGE>
Merrill Lynch Mortgage Capital, Inc.
Portfolio: H:\DATA\DEALS\ALLIANCE\AFC964.DBF
*** Transactions Finance Group ***
12/03/1996 15:42 Page 1
------------------------
ADJUSTABLE LOANS
------------------------
<TABLE>
<CAPTION>
Report Profile: AFC964A SuperCrack Portfolio Summary Code File: AFC964
=====================================================================================================================
<-P O O L T O T A L S-> AVERAGE <- - GROSS COUPON - -> <-RMNG TRM-> WTDAV <- - M A R G I N - ->
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V WTDAV MIN MAX
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
383 $ 50,480,297 $ 131,802 10.204 7.375 12.625 359.3 360.0 80.1 6.399 3.750 9.000
=====================================================================================================================
</TABLE>
Report Profile: AFC964A SuperCrack Portfolio Summary Code File: AFC964
====================================================================
< - - L I F E C A P - - > <- L I F E F L O O R - >
# LOANS WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------
383 16.204 13.375 18.625 100 10.114 7.375 12.500 100
====================================================================
=====================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
- -----------------------------------------------------
15.01- 20.00 1 20,000 0.04
20.01- 25.00 1 39,980 0.08
25.01- 30.00 1 64,970 0.13
30.01- 35.00 5 317,000 0.63
35.01- 40.00 3 381,700 0.76
40.01- 45.00 1 65,000 0.13
45.01- 50.00 4 374,315 0.74
50.01- 55.00 7 966,117 1.91
55.01- 60.00 7 435,220 0.86
60.01- 65.00 13 1,290,551 2.56
65.01- 70.00 22 2,465,077 4.88
70.01- 75.00 28 3,971,366 7.87
75.01- 80.00 113 15,483,416 30.67
80.01- 85.00 88 12,517,627 24.80
85.01- 90.00 89 12,087,958 23.95
WTD AVERAGE: 80.14
- --------------------------------------------------------------------------------
Active Filter: RFREQ<>0 V0.32
16
<PAGE>
Merrill Lynch Mortgage Capital, Inc.
Portfolio: H:\DATA\DEALS\ALLIANCE\AFC964.DBF
*** Transactions Finance Group ***
12/03/1996 15:45 Page 1
------------------------
ADJUSTABLE LOANS 1YR CMT
------------------------
<TABLE>
<CAPTION>
Report Profile: CMT SuperCrack Portfolio Summary Code File: AFC964
=====================================================================================================================
<-P O O L T O T A L S-> AVERAGE <- - GROSS COUPON - -> <-RMNG TRM-> WTDAV <- - M A R G I N - ->
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V WTDAV MIN MAX
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
100 $ 11,925,208 $ 119,252 10.089 7.375 12.125 359.4 360.0 80.3 6.339 3.750 8.500
=====================================================================================================================
</TABLE>
Report Profile: CMT SuperCrack Portfolio Summary Code File: AFC964
====================================================================
< - - L I F E C A P - - > <- L I F E F L O O R - >
# LOANS WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------
100 16.089 13.375 18.125 100 10.089 7.375 12.125 100
====================================================================
=====================================================
PERIODIC CAP (CMT) LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ=12
* * * all loans meet subfilter criteria * * *
2.000 100 11,925,208 100.00
=====================================================
LIFECAP (CMT) LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ=12
* * * all loans meet subfilter criteria * * *
13.250- 13.499 1 77,241 0.65
13.500- 13.749 1 129,716 1.09
14.000- 14.249 1 62,000 0.52
14.250- 14.499 5 577,882 4.85
14.500- 14.749 2 205,000 1.72
14.750- 14.999 5 427,014 3.58
15.000- 15.249 6 530,193 4.45
15.250- 15.499 10 1,175,787 9.86
15.500- 15.749 11 1,564,561 13.12
15.750- 15.999 12 1,411,884 11.84
16.000- 16.249 4 690,106 5.79
16.250- 16.499 6 643,809 5.40
16.500- 16.749 10 1,440,154 12.08
16.750- 16.999 3 307,300 2.58
17.000- 17.249 3 330,505 2.77
17.250- 17.499 6 531,105 4.45
17.500- 17.749 8 1,269,711 10.65
17.750- 17.999 3 180,982 1.52
18.000- 18.249 3 370,258 3.10
WTD AVERAGE: 16.089
=====================================================
NEXT RATE CHANGE (CMT) LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ=12
* * * all loans meet subfilter criteria * * *
12/01/1996 1 60,743 0.51
02/01/1997 3 333,679 2.80
03/01/1997 4 740,906 6.21
04/01/1997 40 5,070,300 42.52
05/01/1997 50 5,532,581 46.39
06/01/1997 2 187,000 1.57
=====================================================
MARGIN REPORT (CMT) LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ=12
* * * all loans meet subfilter criteria * * *
3.750- 3.999 2 206,957 1.74
4.500- 4.749 5 423,317 3.55
4.750- 4.999 1 216,565 1.82
5.000- 5.249 9 762,447 6.39
5.250- 5.499 6 790,531 6.63
5.500- 5.749 4 454,748 3.81
5.750- 5.999 14 1,381,276 11.58
6.000- 6.249 9 1,006,945 8.44
6.250- 6.499 6 1,415,399 11.87
6.500- 6.749 3 462,161 3.88
6.750- 6.999 11 1,008,892 8.46
7.000- 7.249 3 504,392 4.23
7.250- 7.499 5 889,172 7.46
7.500- 7.749 10 950,994 7.97
7.750- 7.999 5 742,380 6.23
8.000- 8.249 2 193,973 1.63
8.250- 8.499 4 363,100 3.04
8.500- 8.749 1 151,958 1.27
WTD AVERAGE: 6.339
- --------------------------------------------------------------------------------
Active Filter: RFREQ=12 V0.32
17
<PAGE>
Merrill Lynch Mortgage Capital, Inc.
Portfolio: H:\DATA\DEALS\ALLIANCE\AFC964.DBF
*** Transactions Finance Group ***
12/03/1996 15:44 Page 1
-------------------------------------------
(3) ADJUSTABLE LOANS 6 MONTH LIBOR 2/28 (3)
-------------------------------------------
<TABLE>
<CAPTION>
Report Profile: LIBOR SuperCrack Portfolio Summary Code File: AFC964
=====================================================================================================================
<-P O O L T O T A L S-> AVERAGE <- - GROSS COUPON - -> <-RMNG TRM-> WTDAV <- - M A R G I N - ->
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V WTDAV MIN MAX
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
42 $ 4,564,940 (3) $ 108,689 (3)10.625 8.625 12.625 (3) 360.2 360.0 (3) 79.9 (3) 6.164 4.000 7.875 (3)
=====================================================================================================================
</TABLE>
Report Profile: LIBOR SuperCrack Portfolio Summary Code File: AFC964
====================================================================
< - - L I F E C A P - - > <- L I F E F L O O R - >
# LOANS WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------
42 16.625 14.625 18.625 100 (3) 9.625 7.625 11.625 100
====================================================================
=====================================================
PERIODIC CAP (LIBOR) LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ=6
* * * all loans meet subfilter criteria * * *
1.000 42 4,564,940 100.00
=====================================================
MARGIN REPORT (LIBOR) LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ= 6
* * * all loans meet subfilter criteria * * *
4.000- 4.249 1 92,000 2.02
4.500- 4.749 2 226,400 4.96
5.000- 5.249 3 246,550 5.40
5.250- 5.499 2 227,200 4.98
5.500- 5.749 2 207,530 4.55
5.750- 5.999 5 653,800 14.32
6.000- 6.249 5 427,117 9.36
6.250- 6.499 3 304,965 6.68
6.500- 6.749 6 988,522 21.65
6.750- 6.999 4 452,675 9.92
7.250- 7.499 5 371,300 8.13
7.500- 7.749 3 346,882 7.60
7.750- 7.999 1 20,000 0.44
WTD AVERAGE: 6.164
=====================================================
NEXT RATE CHANGE (LIBOR LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ= 6
* * * all loans meet subfilter criteria * * *
11/01/1998 33 3,736,960 81.86
12/01/1998 9 827,980 18.14
=====================================================
LIFECAP REPORT LOANS CURRENT BAL %POOL
- -----------------------------------------------------
Subfilter: RFREQ= 6
* * * all loans meet subfilter criteria * * *
14.500- 14.749 1 92,000 2.02
15.000- 15.249 2 226,400 4.96
15.250- 15.499 3 335,650 7.35
15.500- 15.749 1 60,800 1.33
15.750- 15.999 3 284,830 6.24
16.000- 16.249 1 40,000 0.88
16.250- 16.499 4 613,800 13.45
16.500- 16.749 4 378,975 8.30
16.750- 16.999 7 903,807 19.80
17.000- 17.249 5 604,722 13.25
17.250- 17.499 2 308,000 6.75
17.500- 17.749 1 81,600 1.79
17.750- 17.999 1 144,500 3.17
18.000- 18.249 3 220,000 4.82
18.250- 18.499 2 115,457 2.53
18.500- 18.749 2 154,400 3.38
WTD AVERAGE: 16.625
- --------------------------------------------------------------------------------
Active Filter: RFREQ=6 AND PROGRAMTYP="026" V0.32
18
<PAGE>
Merrill Lynch Mortgage Capital, Inc.
Portfolio: H:\DATA\DEALS\ALLIANCE\AFC964.DBF
*** Transactions Finance Group ***
12/03/1996 15:45 Page 1
----------------------------------------
(3) ADJUSTABLE LOANS 6 MONTH NO 2/28 (3)
----------------------------------------
<TABLE>
<CAPTION>
Report Profile: LIBOR SuperCrack Portfolio Summary Code File: AFC964
=====================================================================================================================
<-P O O L T O T A L S-> AVERAGE <- - GROSS COUPON - -> <-RMNG TRM-> WTDAV <- - M A R G I N - ->
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V WTDAV MIN MAX
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
241 $ 33,990,149 (3) $ 141,038 (3) 10.188 7.375 12.500 (3) 359.2 360.0 (3) 80.1 (3) 6.451 3.750 9.000 (3)
=====================================================================================================================
</TABLE>
Report Profile: LIBOR SuperCrack Portfolio Summary Code File: AFC964
====================================================================
< - - L I F E C A P - - > <- L I F E F L O O R - >
# LOANS WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
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241 16.188 13.375 18.500 100 (3) 10.188 7.375 12.500 100
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PERIODIC CAP (LIBOR) LOANS CURRENT BAL %POOL
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Subfilter: RFREQ=6
* * * all loans meet subfilter criteria * * *
1.000 241 33,990,149 100.00
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MARGIN REPORT (LIBOR) LOANS CURRENT BAL %POOL
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Subfilter: RFREQ= 6
* * * all loans meet subfilter criteria * * *
3.750- 3.999 4 758,608 2.23
4.500- 4.749 3 301,759 0.89
4.750- 4.999 2 374,707 1.10
5.000- 5.249 7 805,232 2.37
5.250- 5.499 15 1,893,604 5.57
5.500- 5.749 6 1,002,378 2.95
5.750- 5.999 36 5,429,876 15.97
6.000- 6.249 26 3,520,080 10.36
6.250- 6.499 21 3,325,035 9.78
6.500- 6.749 11 1,393,338 4.10
6.750- 6.999 30 4,108,789 12.09
7.000- 7.249 16 2,221,983 6.54
7.250- 7.499 19 2,540,258 7.47
7.500- 7.749 13 2,242,781 6.60
7.750- 7.999 10 1,224,193 3.60
8.000- 8.249 8 1,144,995 3.37
8.250- 8.499 5 577,362 1.70
8.500- 8.749 8 930,272 2.74
9.000- 9.249 1 194,900 0.57
WTD AVERAGE: 6.451
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NEXT RATE CHANGE (LIBOR LOANS CURRENT BAL %POOL
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Subfilter: RFREQ= 6
* * * all loans meet subfilter criteria * * *
01/01/1997 1 199,942 0.59
02/01/1997 7 1,191,772 3.51
03/01/1997 37 5,388,181 15.85
04/01/1997 90 13,555,958 39.88
05/01/1997 97 12,707,846 37.39
06/01/1997 9 946,450 2.78
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LIFECAP REPORT LOANS CURRENT BAL %POOL
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Subfilter: RFREQ= 6
* * * all loans meet subfilter criteria * * *
13.250- 13.499 1 299,772 0.88
13.500- 13.749 1 271,803 0.80
13.750- 13.999 2 187,033 0.55
14.000- 14.249 1 114,925 0.34
14.250- 14.499 4 561,541 1.65
14.500- 14.749 5 775,016 2.28
14.750- 14.999 4 583,519 1.72
15.000- 15.249 12 1,579,647 4.65
15.250- 15.499 15 2,031,647 5.98
15.500- 15.749 26 3,887,516 11.44
15.750- 15.999 40 5,969,749 17.56
16.000- 16.249 24 3,113,979 9.16
16.250- 16.499 18 2,375,459 6.99
16.500- 16.749 14 1,686,121 4.96
16.750- 16.999 19 2,897,014 8.52
17.000- 17.249 12 2,103,948 6.19
17.250- 17.499 12 1,952,173 5.74
17.500- 17.749 11 1,361,511 4.01
17.750- 17.999 8 1,005,654 2.96
18.000- 18.249 8 679,331 2.00
18.250- 18.499 3 357,892 1.05
18.500- 18.749 1 194,900 0.57
WTD AVERAGE: 16.188
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Active Filter: RFREQ=6 AND PROGRAMTYP<>"026" V0.32
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