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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) June 16, 1997
SUPERIOR BANK FSB (as depositor under the Pooling and Servicing Agreement, dated
as of June 1, 1997, providing for the issuance of AFC Mortgage Loan Asset Backed
Certificates, Series 1997-2)
Superior Bank FSB
-----------------
(Exact name of registrant as specified in its charter)
United States 333-21485 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 ----------
Executive Offices) (Zip Code)
Registrant's telephone number, including area code (708) 916-4000
---- --------
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<PAGE>
-2-
Item 5. Other Events.
On or about June 26, 1997, the Registrant will cause the issuance and sale
of approximately $302,000,000 initial principal amount of AFC Mortgage Loan
Asset Backed Certificates, Series 1997-2, Class 1A-1, Class 1A-2, Class 1A-3,
Class 1A-4, Class 1A-5, Class 2A and Class R (collectively, the "Certificates")
pursuant to a Pooling and Servicing Agreement to be dated as of June 1, 1997,
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 1997-2, Class lA-1, Class 1A-2, Class 1A-3, Class 1A-4, Class 1A-5 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.333-21485, 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The information in the Computational Materials will be superseded by the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: June 16, 1997
<PAGE>
-5-
EXHIBIT INDEX
Exhibit No. Description Page
- ----------- ----------- ----
1 Computational Materials 6
[Merrill Lynch Logo] Computational Materials
================================================================================
AFC Mortgage Loan Asset Backed Certificates, Series 1997-2
$302,000,000 (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 J.P. 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 Call:
1A-1 $49,800,000 Aaa/AAA 1.00 1 (7/97) 22 (4/99)
1A-2 $14,500,000 Aaa/AAA 2.10 22 (4/99) 29 (11/99)
1A-3 $24,200,000 Aaa/AAA 3.01 29 (11/99) 47 (5/01)
1A-4 $13,000,000 Aaa/AAA 5.37 47 (5/01) 117 (3/07)
1A-5 $32,946,150 Aaa/AAA 6.63 37 (7/00) 117 (3/07)
To Call:
2A $167,553,850 Aaa/AAA 2.97 1 (7/97) 117 (3/07)
To Maturity:
1A-4 $13,000,000 Aaa/AAA 5.89 47 (5/01) 182 (8/12)
1A-5 $32,946,150 Aaa/AAA 6.83 37 (7/00) 179 (5/12)
2A $167,553,850 Aaa/AAA 3.09 1 (7/97) 210 (12/14)
</TABLE>
CUT-OFF DATE: June 1, 1997
EXP. PRICING: Week of June 16, 1997
EXP. SETTLEMENT: Week of June 23, 1997
STATED FINAL
MATURITY: June 25, 2027
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 July 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 (8/97).
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, condominiums
and manufactured homes ("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. In addition, Sub-Pool 1
will include "Periodic Payment Loans" (5.92% of
Sub-Pool 1) and "FNMA Loans" (9% of Sub-Pool 1
after prefunding). See below for further
description.
Sub-Pool 2: Conventional, adjustable rate mortgage loans
secured by first liens on Single Family
Properties and Multifamily Properties indexed to
1-Year CMT and 6 Month LIBOR plus Sub-Pool 2
pre-funding account. In addition, Sub-Pool 2 will
include "FNMA Loans" (13% of Sub-Pool 2 after
prefunding). See below for further description.
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
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>
exceeding the initial respective Certificate
Principal Balance as of the Closing Date.
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, from the other Sub-Pool
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: $41,418,751.15 (approximate)
Original Sub-Pool 2 Pre-Funding Amount: $53,131,306.49 (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 except the Class 1A-1 Certifcates in an amount equal to either 30
days' interest or the actual number of days of interest, as indicated in the
table below, at the related Class 1A Pass-Through Rate on the related Class 1A
Principal Balance thereof.
CLASS 1A INTEREST
CERTIFICATES ACCRUAL P-T RATE(2) 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
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) [ ]%
or such other rate as specified in the Prospectus (the "Class 1A-1 Cap
Rate").
(2) The interest rate on the Class 1A Pass Through Certificates will step up
40 bps (subject, in the case of the Class 1A-1 Certificates, to the Class
1A-1 Cap Rate) if the clean up call is not exercised.
Class 2A 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 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 Certificates. All
calculations of interest on the Class 2A 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 Pass Through Rate will be equal to the least of
(1) [ ]% (the "Class 2A 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) 0.50% (the "Available
Funds Cap Rate").
After the availability of the 5% cleanup call the Class 2A 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.
The Class 2A Certificates will be backed primarily by cash flows from Sub-Pool 2
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>
Each Class 1A and Class 2A Certificateholder will generally receive all
scheduled and unscheduled principal distributions from their respective Sub-Pool
until they are retired. The first four classes of the Class A Certificates will
be retired sequentially, pari passu with the Class 1A-5 Certificates primarily
from cash flows from the Fixed Rate Group.
The transaction will contain a lock out bond (Class 1A-5) which receives no
principal payment for the first three years unless the Class 1A-4 is paid off.
After year 3, the Class 1A-5 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+: 300%
The Adjustable Rate Certificates (Class 2A) 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 6/1/97 (the "Cut-off Date")
Sub-Pool 1 (Fixed Rate):
Initial Home Equity Loan Principal Balance: $94,729,249
Properties secured by 1st/2nd Liens: 60.95%/39.05%
Weighted Average Coupon: 11.37%
Weighted Average CLTV: 75.89%
Weighted Average Rem. Term: 217 mos
Weighted Average Original Term: 229 mos
Geographic Distribution: 29 States and D.C.
States w/ >5% Concentrations: NY-22.68%, IL-22.07%,
FL-7.94%, PA-5.70%,
CO-5.35%, UT-5.10%
Balloons (30's due in 15): 33.43%
Occupancy-
Owner Occupied: 92.62%
Non-Owner Occupied: 7.38%
Property Type-
Condominium: 1.70%
Mixed Use: 1.29%
PUD: 1.93%
Manufactured Home Loans: 1.57%
Multi Family: 2.29%
Single Family: 79.96%
2-4 Family: 11.26%
Loan Purpose-
Purchase: 17.92%
Refinance: 9.37%
Cashout: 72.72%
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 6/1/96 (the "Cut-off Date")
Sub-Pool 2 (Adjustable Rate):
Initial Home Equity Loan Principal Balance: $119,164,842
Weighted Average Coupon: 10.045%
Weighted Average Lifetime Cap: 15.67%
Weighted Average Lifetime Floor: 9.78%
Weighted Average Gross Margin: 5.53%
Negative Amortization: [None]
Weighted Average Rem. Term: 349 mos.
Weighted Average Original Term: 359 mos
Properties secured by 1st Liens: 100.00%
Weighted Average CLTV: 78.75%
Geographic Distribution: 29 States and D.C.
States w/ >5% Concentrations: IL-23.88%, NY-
14.69%, NJ-9.17%,
PA-9.15%, MI-7.12%,
CO-6.37%
Occupancy-
Owner Occupied: 96.73%
Non-Owner Occupied: 3.27%
Property Type-
Condominium: 3.38%
PUD: 4.76%
Manufactured Home Loans: 0.50%
Multi Family: 0.36%
Single Family: 80.90%
2-4 Family: 10.09%
Loan Purpose-
Purchase: 42.73%
Refinance: 8.95%
Cashout: 48.32%
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>
ADDITIONAL COLLATERAL (SUB-POOL 1 & SUB-POOL 2):
Manufactured Home Loans
Mortgage loans secured by manufactured homes that are deemed to be real property
in the jurisdiction in which the mortgaged property is located. These loans will
constitute 1.57% of Sub-Pool 1 and 0.50% of Sub-Pool 2.
Periodic Payment Loans
Mortgage loans which generally are the same as the other mortgage loans in the
transaction but which accrue interest on a 28/364 day basis. Periodic Payment
Loans will constitute 5.92% of Sub-Pool 1. 20 of these loans (1.45% of Sub-Pool
1) will have interest only payments with the entire principal balance due on
final maturity.
FNMA Loans
Mortgage Loans which have been originated by Superior Bank in accordance with
FNMA underwriting guidelines (but for the original principal balance). Interest
on these loans is calculated on an actual 30/360 basis and applied as scheduled.
FNMA Loans will constitute 9% of Sub-Pool 1 after prefunding and 13% of Sub-Pool
2 after prefunding. The FNMA loans are seasoned approximately 55 months
(Sub-Pool 1) and approximately 49 months (Sub-Pool 2).
FIXED RATE CERTIFICATE PREPAYMENT ASSUMPTION:
With respect to the 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 1.2% 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 26% per annum each month.
ADJUSTABLE RATE CERTIFICATE PREPAYMENT ASSUMPTION:
With respect to the Adjustable Rate Certificates, a 26% constant prepayment rate
(CPR) will be used to price the Certificates.
10
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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 1A CERTIFICATE PREPAYMENT SENSITIVITY ANALYSIS:
(assuming 0 bps losses):
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
(CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-1 WAL (yrs.) 8.63 1.54 1.00 0.77 0.64
Class 1A-1 Exp. Beg. Am. 1 1 1 1 1
Class 1A-1 Exp. End. Am. 179 37 22 17 14
(CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-2 WAL (yrs.) 15.01 3.71 2.10 1.57 1.28
Class 1A-2 Exp. Beg. Am. 179 37 22 17 14
Class 1A-2 Exp. End. Am. 182 53 29 21 17
(CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-3 WAL (yrs.) 17.31 7.60 3.01 2.09 1.67
Class 1A-3 Exp. Beg. Am. 182 53 29 21 17
Class 1A-3 Exp. End. Am. 243 158 47 31 23
(CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-4 WAL (yrs.) 22.87 14.69 5.37 2.87 2.12
Class 1A-4 Exp. Beg. Am. 243 158 47 31 23
Class 1A-4 Exp. End. Am. 290 180 117 40 28
(CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-5 WAL (yrs.) 11.41 7.68 6.63 4.78 3.50
Class 1A-5 Exp. Beg. Am. 37 37 37 37 28
Class 1A-5 Exp. End. Am. 179 179 117 78 56
</TABLE>
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>
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-4 WAL (yrs.) 23.69 15.56 5.89 2.87 2.12
Class 1A-4 Exp. Beg. Am. 243 158 47 31 23
Class 1A-4 Exp. End. Am. 330 257 182 40 28
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
% Prepay Assumpt. 0% 50% 100% 150% 200%
Class 1A-5 WAL (yrs.) 11.41 7.68 6.83 5.06 3.70
Class 1A-5 Exp. Beg. Am. 37 37 37 37 28
Class 1A-5 Exp. End. Am. 179 179 179 135 96
CLASS 2A CERTIFICATE PREPAYMENT ASSUMPTION:
Prepayment Scenarios:
Scenario 1: 0% Constant prepayment rate.
Scenario 2: 20% Constant prepayment rate.
Scenario 3: 26% Constant prepayment rate.
Scenario 4: 32% Constant prepayment rate.
Scenario 5: 38% Constant prepayment rate.
CLASS 2A CERTIFICATE PREPAYMENT SENSITIVITY ANALYSIS:
(assuming 0 bps losses):
(CLEAN-UP CALL)
SCENARIO (1) 1 2 3 4 5
- - - - -
CPR 0% 20% 26% 32% 38%
Class 2A WAL (yrs.) 20.87 3.94 2.97 2.35 1.91
Class 2A Exp. Beg. Am. 1 1 1 1 1
Class 2A Exp. End. Am. 354 155 117 92 75
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5
- - - - -
CPR 0% 20% 26% 32% 38%
Class 2A WAL (yrs.) 20.88 4.08 3.09 2.44 1.99
Class 2A Exp. Beg. Am. 1 1 1 1 1
Class 2A Exp. End. Am. 361 268 210 168 137
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.
<PAGE>
FOR ADDITIONAL INFORMATION PLEASE CALL:
Asset Backed Securities Group
Rod Hutter (212) 449-2659
Ted Hsueh (212) 449-9177
Mike Murphy (212) 449-0843
Scott Henderson (212) 449-3780
Trading
Craig Weakley (212) 449-3659
Terrence Mack (212) 449-3659
Scott Soltas (212) 449-5320
Vince Mora (212) 449-5320
13
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
----------------------------------------------
ALLIANCE FIXED RATE LOANS (INCLUDING BALLOONS)
----------------------------------------------
Report Profile: AFC971F SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
1,674 $ 94,729,249 $ 56,589 11.372 6.250 18.000 217.4 229.0
================================================================================
========
WTDAV
L T V
- --------
75.9
========
================================================================================
STATE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
AZ 34 1,462,163 1.54
CA 36 2,009,886 2.12
CO 135 5,065,526 5.35
CT 51 3,979,871 4.20
DC 1 46,000 0.05
DE 3 148,949 0.16
FL 174 7,523,333 7.94
GA 43 2,477,094 2.61
ID 6 177,433 0.19
IL 292 20,911,194 22.07
IN 19 692,169 0.73
KY 2 126,900 0.13
MA 19 556,628 0.59
MD 43 2,343,335 2.47
MI 31 1,490,341 1.57
MN 14 559,856 0.59
NC 42 1,715,325 1.81
NJ 55 4,494,814 4.74
NM 5 172,065 0.18
NV 4 176,820 0.19
NY 279 21,485,368 22.68
OH 18 862,969 0.91
OR 43 1,763,848 1.86
PA 121 5,403,417 5.70
RI 7 299,345 0.32
SC 14 577,045 0.61
UT 114 4,827,502 5.10
VA 9 598,295 0.63
WA 48 2,236,263 2.36
WI 12 545,497 0.58
================================================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
SINGLE FAMILY 1,414 75,744,238 79.96
CONDOMINIUM 36 1,613,270 1.70
2 - 4 FAMILY 132 10,664,545 11.26
MANUFACTURED HOUSING 36 1,488,971 1.57
PLANNED UNIT DEVELOPMENT 40 1,826,589 1.93
MIXED USE 7 1,226,029 1.29
MULTI-FAMILY 9 2,165,608 2.29
================================================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
OWNER OCCUPIED 1,591 87,741,140 92.62
NON-OWNER OCCUPIED 83 6,988,110 7.38
================================================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
0.01 - 10000.00 12 107,732 0.11
10000.01 - 20000.00 225 3,592,928 3.79
20000.01 - 30000.00 326 8,254,764 8.71
30000.01 - 40000.00 247 8,618,456 9.10
40000.01 - 50000.00 191 8,646,327 9.13
50000.01 - 60000.00 142 7,917,367 8.36
60000.01 - 70000.00 121 7,861,297 8.30
70000.01 - 80000.00 79 5,958,572 6.29
80000.01 - 90000.00 57 4,832,547 5.10
90000.01 - 100000.00 71 6,808,963 7.19
100000.01 - 110000.00 32 3,352,201 3.54
110000.01 - 120000.00 37 4,250,119 4.49
120000.01 - 130000.00 24 3,036,482 3.21
130000.01 - 140000.00 13 1,739,937 1.84
140000.01 - 150000.00 17 2,468,860 2.61
150000.01 - 160000.00 8 1,255,205 1.33
160000.01 - 170000.00 12 1,970,173 2.08
170000.01 - 180000.00 9 1,590,752 1.68
180000.01 - 190000.00 3 554,604 0.59
190000.01 - 200000.00 12 2,335,052 2.46
200000.01 - 250000.00 19 4,317,501 4.56
250000.01 - 300000.00 12 3,229,399 3.41
300000.01 - 350000.00 2 668,750 0.71
350000.01 - 400000.00 2 771,262 0.81
550000.01 - 600000.00 1 590,000 0.62
================================================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
60 1 33,008 0.03
91 1 19,466 0.02
104 1 34,500 0.04
120 62 2,160,262 2.28
130 14 545,626 0.58
156 3 169,222 0.18
169 2 112,300 0.12
180 1,044 53,953,605 56.96
182 2 103,600 0.11
195 30 1,404,348 1.48
208 1 31,100 0.03
240 253 12,155,618 12.83
247 4 142,609 0.15
260 30 2,364,791 2.50
300 2 291,138 0.31
325 1 145,936 0.15
360 218 20,501,409 21.64
390 5 560,712 0.59
================================================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
6.250 - 6.499 5 341,463 0.36
6.500 - 6.749 1 145,658 0.15
6.750 - 6.999 7 732,847 0.77
7.000 - 7.249 15 1,113,376 1.18
7.250 - 7.499 8 909,482 0.96
7.500 - 7.749 18 2,281,654 2.41
7.750 - 7.999 11 1,186,017 1.25
8.000 - 8.249 10 976,088 1.03
8.250 - 8.499 8 748,603 0.79
8.500 - 8.749 10 705,409 0.74
8.750 - 8.999 13 829,670 0.88
9.000 - 9.249 16 1,231,611 1.30
9.250 - 9.499 22 1,492,471 1.58
9.500 - 9.749 38 2,571,963 2.72
9.750 - 9.999 55 3,174,658 3.35
10.000 - 10.249 46 2,739,572 2.89
10.250 - 10.499 42 2,011,895 2.12
10.500 - 10.749 60 3,435,887 3.63
10.750 - 10.999 69 4,803,442 5.07
11.000 - 11.249 75 4,505,448 4.76
11.250 - 11.499 121 6,561,566 6.93
11.500 - 11.749 117 8,043,877 8.49
11.750 - 11.999 174 8,031,306 8.48
12.000 - 12.249 85 4,655,248 4.91
12.250 - 12.499 100 5,667,653 5.98
12.500 - 12.749 104 5,538,178 5.85
12.750 - 12.999 145 6,755,672 7.13
13.000 - 13.249 60 2,979,221 3.14
13.250 - 13.499 45 2,128,252 2.25
13.500 - 13.749 30 1,220,203 1.29
13.750 - 13.999 52 2,015,790 2.13
14.000 - 14.249 20 1,078,214 1.14
14.250 - 14.499 22 1,110,770 1.17
14.500 - 14.749 21 1,178,609 1.24
14.750 - 14.999 11 481,570 0.51
15.000 - 15.249 5 226,079 0.24
15.250 - 15.499 9 393,353 0.42
15.500 - 15.749 6 225,383 0.24
15.750 - 15.999 7 175,585 0.19
16.000 - 16.249 1 28,484 0.03
16.500 - 16.749 4 65,919 0.07
16.750 - 16.999 5 222,579 0.23
18.000 - 18.249 1 8,524 0.01
WTD AVERAGE: 11.372
- --------------------------------------------------------------------------------
Active Filter: ARMORFIX= "1" Requested by: V0.32
14
<PAGE>
----------------------------------------------
ALLIANCE FIXED RATE LOANS (INCLUDING BALLOONS)
----------------------------------------------
Report Profile: AFC971F SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
1,674 $ 94,729,249 $ 56,589 11.372 6.250 18.000 217.4 229.0
================================================================================
========
WTDAV
L T V
- --------
75.9
========
================================================================================
REMAINING TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
12.01 - 24.00 1 33,008 0.03
48.01 - 60.00 2 71,201 0.08
60.01 - 72.00 1 80,081 0.08
72.01 - 84.00 2 165,124 0.17
84.01 - 96.00 38 1,268,947 1.34
96.01 - 108.00 24 1,121,547 1.18
108.01 - 120.00 82 2,948,010 3.11
120.01 - 132.00 2 326,146 0.34
132.01 - 144.00 18 1,132,763 1.20
144.01 - 156.00 2 112,300 0.12
156.01 - 168.00 1 81,900 0.09
168.01 - 180.00 986 51,173,211 54.02
180.01 - 192.00 3 101,222 0.11
216.01 - 228.00 4 142,609 0.15
228.01 - 240.00 282 14,471,987 15.28
252.01 - 264.00 1 36,471 0.04
264.01 - 276.00 8 388,853 0.41
276.01 - 288.00 23 1,809,645 1.91
288.01 - 300.00 26 2,340,634 2.47
300.01 - 312.00 15 2,181,664 2.30
312.01 - 324.00 31 3,379,472 3.57
336.01 - 348.00 1 119,616 0.13
348.01 - 360.00 121 11,242,841 11.87
WTD AVERAGE: 217.37
================================================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
PURCHASE 200 16,971,117 17.92
REFINANCE 141 8,872,027 9.37
CASHOUT 1,333 68,886,105 72.72
================================================================================
LIEN POSITION LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1 706 57,739,552 60.95
2 968 36,989,698 39.05
================================================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
A 144 12,328,520 13.01
AA 206 11,194,589 11.82
ANIV 146 7,222,153 7.62
FD 192 12,115,050 12.79
I 443 23,391,981 24.69
II 145 7,667,804 8.09
III 131 6,659,616 7.03
IIISE 71 3,961,306 4.18
IV 160 8,320,471 8.78
IVPI 11 729,164 0.77
V 25 1,138,594 1.20
================================================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10.01 - 15.00 4 64,885 0.07
15.01 - 20.00 7 200,975 0.21
20.01 - 25.00 7 171,573 0.18
25.01 - 30.00 9 314,443 0.33
30.01 - 35.00 16 599,322 0.63
35.01 - 40.00 18 881,477 0.93
40.01 - 45.00 16 971,447 1.03
45.01 - 50.00 35 2,232,566 2.36
50.01 - 55.00 47 2,816,663 2.97
55.01 - 60.00 57 4,131,577 4.36
60.01 - 65.00 76 6,269,803 6.62
65.01 - 70.00 144 8,089,399 8.54
70.01 - 75.00 137 8,927,676 9.42
75.01 - 80.00 325 17,898,012 18.89
80.01 - 85.00 388 22,140,381 23.37
85.01 - 90.00 388 19,019,050 20.08
WTD AVERAGE: 75.89
- --------------------------------------------------------------------------------
Active Filter: ARMORFIX= "1" Requested by: V0.32
15
<PAGE>
------------------------------
ALLIANCE ADJUSTABLE RATE LOANS
------------------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
1,002 $ 119,164,842 $ 118,927 10.045 5.500 14.375 348.8 359.0
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
78.7 5.531 1.875 8.750 15.667 10.500 20.375 100 9.778 7.125 13.375 81
================================================================================
================================================================================
STATE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
IL 241 28,456,501 23.88
NY 112 17,504,061 14.69
NJ 78 10,933,144 9.17
PA 120 10,901,645 9.15
MI 80 8,489,232 7.12
CO 49 7,594,072 6.37
FL 52 4,624,021 3.88
CT 38 3,780,700 3.17
UT 27 3,725,857 3.13
AZ 31 3,330,366 2.79
GA 25 2,983,262 2.50
MD 24 2,926,183 2.46
WA 21 2,798,502 2.35
IN 13 1,587,537 1.33
CA 5 1,344,988 1.13
WI 17 1,332,598 1.12
OH 13 1,141,392 0.96
OR 12 1,071,897 0.90
SC 11 904,154 0.76
MA 6 869,887 0.73
VA 2 694,555 0.58
NM 5 607,074 0.51
NC 8 556,061 0.47
NV 3 297,204 0.25
DE 3 277,487 0.23
DC 2 144,000 0.12
KY 1 89,470 0.08
MN 1 85,600 0.07
RI 1 59,857 0.05
ID 1 53,535 0.04
================================================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
169 - 180 6 389,847 0.33
229 - 240 8 362,665 0.30
349 - 360 988 118,412,330 99.37
WTD AVERAGE: 359
================================================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
SINGLE FAMILY 831 96,406,314 80.90
CONDOMINIUM 42 4,029,965 3.38
2 - 4 FAMILY 87 12,025,159 10.09
MANUFACTURED HOUSING 12 601,303 0.50
PLANNED UNIT DEVELOPMENT 27 5,675,364 4.76
MULTI-FAMILY 3 426,737 0.36
================================================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10000.01 - 20000.00 6 98,761 0.08
20000.01 - 30000.00 15 384,641 0.32
30000.01 - 40000.00 39 1,397,809 1.17
40000.01 - 50000.00 63 2,846,922 2.39
50000.01 - 60000.00 92 5,097,904 4.28
60000.01 - 70000.00 70 4,537,019 3.81
70000.01 - 80000.00 66 4,920,610 4.13
80000.01 - 90000.00 73 6,196,829 5.20
90000.01 - 100000.00 89 8,468,506 7.11
100000.01 - 110000.00 64 6,737,953 5.65
110000.01 - 120000.00 66 7,620,041 6.39
120000.01 - 130000.00 43 5,396,244 4.53
130000.01 - 140000.00 55 7,415,749 6.22
140000.01 - 150000.00 35 5,111,765 4.29
150000.01 - 160000.00 35 5,414,255 4.54
160000.01 - 170000.00 18 2,986,150 2.51
170000.01 - 180000.00 19 3,344,759 2.81
180000.01 - 190000.00 12 2,227,224 1.87
190000.01 - 200000.00 21 4,112,317 3.45
200000.01 - 250000.00 72 16,194,162 13.59
250000.01 - 300000.00 20 5,575,874 4.68
300000.01 - 350000.00 5 1,646,836 1.38
350000.01 - 400000.00 10 3,760,899 3.16
400000.01 - 450000.00 4 1,731,250 1.45
450000.01 - 500000.00 3 1,456,260 1.22
500000.01 - 550000.00 2 1,073,425 0.90
600000.01 - 650000.00 3 1,875,105 1.57
650000.01 - 700000.00 1 691,125 0.58
800000.01 - 850000.00 1 844,447 0.71
================================================================================
REMAINING TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
120.01 - 132.00 2 135,101 0.11
132.01 - 144.00 3 213,208 0.18
168.01 - 180.00 1 41,538 0.03
204.01 - 216.00 1 81,082 0.07
216.01 - 228.00 2 199,203 0.17
228.01 - 240.00 8 362,665 0.30
264.01 - 276.00 1 78,822 0.07
276.01 - 288.00 2 173,875 0.15
288.01 - 300.00 6 1,092,090 0.92
300.01 - 312.00 72 8,710,411 7.31
312.01 - 324.00 87 10,557,557 8.86
324.01 - 336.00 9 986,730 0.83
348.01 - 360.00 808 96,532,561 81.01
WTD AVERAGE: 348.80
================================================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
5.500 - 5.749 2 261,831 0.22
7.000 - 7.249 1 90,000 0.08
7.250 - 7.499 3 510,450 0.43
7.500 - 7.749 4 379,468 0.32
7.750 - 7.999 3 408,030 0.34
8.000 - 8.249 28 4,093,737 3.44
8.250 - 8.499 133 16,277,445 13.66
8.500 - 8.749 56 6,710,380 5.63
8.750 - 8.999 26 3,519,021 2.95
9.000 - 9.249 22 2,652,998 2.23
9.250 - 9.499 27 4,665,622 3.92
9.500 - 9.749 60 6,590,497 5.53
9.750 - 9.999 71 7,991,629 6.71
10.000 - 10.249 65 8,995,795 7.55
10.250 - 10.499 67 7,858,450 6.59
10.500 - 10.749 90 10,383,524 8.71
10.750 - 10.999 57 6,855,669 5.75
11.000 - 11.249 60 6,580,018 5.52
11.250 - 11.499 53 6,378,332 5.35
11.500 - 11.749 51 5,432,412 4.56
11.750 - 11.999 20 2,132,634 1.79
12.000 - 12.249 15 1,691,698 1.42
12.250 - 12.499 26 2,749,181 2.31
12.500 - 12.749 23 2,389,474 2.01
12.750 - 12.999 15 1,415,648 1.19
13.000 - 13.249 13 1,054,022 0.88
13.250 - 13.499 4 379,693 0.32
13.500 - 13.749 4 447,885 0.38
13.750 - 13.999 2 237,550 0.20
14.250 - 14.499 1 31,750 0.03
WTD AVERAGE: 10.045
================================================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
OWNER OCCUPIED 959 115,268,036 96.73
NON-OWNER OCCUPIED 43 3,896,807 3.27
================================================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
PURCHASE 429 50,920,832 42.73
REFINANCE 84 10,661,130 8.95
CASHOUT 489 57,582,891 48.32
- --------------------------------------------------------------------------------
Active Filter: ARMORFIX= "2" Requested by: V0.32
16
<PAGE>
- --------------------------------------------------------------------------------
ALLIANCE ADJUSTABLE RATE LOANS
- --------------------------------------------------------------------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE BALANCE WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
1,002 $ 119,164, 842 $118,927 10.045 5.500 14.375 348.8 359.0
================================================================================
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
78.7 5.531 1.875 8.750 15.667 10.500 20.375 100 9.778 7.125 13.375 81
================================================================================
================================================================================
================================================================================
LIEN POSITION LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1 1,002 119,164,842 100.00
================================================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
A 185 22,228,079 18.65
AA 62 7,384,781 6.20
ANIV 69 10,008,977 8.40
FD 107 15,579,182 13.07
I 202 23,911,834 20.07
II 86 9,051,510 7.60
III 89 10,774,228 9.04
IV 133 12,649,352 10.62
SE 43 5,639,071 4.73
V 26 1,937,829 1.63
================================================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10.01 - 15.00 2 39,690 0.03
20.01 - 25.00 2 58,386 0.05
25.01 - 30.00 5 207,660 0.17
30.01 - 35.00 4 210,717 0.18
35.01 - 40.00 7 745,305 0.63
40.01 - 45.00 9 618,703 0.52
45.01 - 50.00 16 1,386,212 1.16
50.01 - 55.00 18 2,246,055 1.88
55.01 - 60.00 21 1,553,560 1.30
60.01 - 65.00 37 4,849,634 4.07
65.01 - 70.00 86 9,664,240 8.11
70.01 - 75.00 112 14,386,507 12.07
75.01 - 80.00 270 32,162,997 26.99
80.01 - 85.00 190 23,685,338 19.88
85.01 - 90.00 223 27,349,839 22.95
WTD AVERAGE: 78.75
- --------------------------------------------------------------------------------
Active Filter: ARMORFIX ="2" Requested by: VO.32
17
<PAGE>
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE BALANCE WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
174 $ 23,966,419 $ 137,738 9.944 7.375 12.625 358.5 360.0
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
81.3 6.260 3.750 8.500 15.907 13.375 18.625 100 9.907 7.375 12.625 100
================================================================================
================================================================================
STATE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
NY 26 4,776,078 19.93
NJ 22 3,108,348 12.97
MI 21 2,786,323 11.63
IL 18 2,512,684 10.48
PA 21 1,808,562 7.55
CO 7 1,299,551 5.42
MD 10 1,146,988 4.79
AZ 8 1,015,145 4.24
GA 7 893,938 3.73
CA 2 743,211 3.10
CT 8 624,351 2.61
VA 1 613,305 2.56
OH 4 553,900 2.31
UT 5 543,202 2.27
MA 2 363,800 1.52
WI 3 329,900 1.38
WA 3 304,455 1.27
NC 2 167,928 0.70
IN 1 114,000 0.48
OR 1 108,750 0.45
FL 1 84,000 0.35
DC 1 68,000 0.28
================================================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
7.250 - 7.499 2 319,200 1.33
7.500 - 7.749 1 204,000 0.85
7.750 - 7.999 3 408,030 1.70
8.250 - 8.499 4 461,951 1.93
8.500 - 8.749 7 737,754 3.08
8.750 - 8.999 9 1,115,661 4.66
9.000 - 9.249 13 1,774,228 7.40
9.250 - 9.499 5 1,549,102 6.46
9.500 - 9.749 25 3,081,154 12.86
9.750 - 9.999 22 2,979,050 12.43
10.000 - 10.249 14 2,713,852 11.32
10.250 - 10.499 21 3,420,316 14.27
10.500 - 10.749 8 986,086 4.11
10.750 - 10.999 6 556,311 2.32
11.000 - 11.249 6 628,806 2.62
11.250 - 11.499 11 1,372,979 5.73
11.500 - 11.749 8 789,531 3.29
11.750 - 11.999 5 454,409 1.90
12.000 - 12.249 2 244,000 1.02
12.250 - 12.499 1 68,000 0.28
12.500 - 12.749 1 102,000 0.43
WTD AVERAGE: 9.944
================================================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
20000.01 - 30000.00 2 48,932 0.20
30000.01 - 40000.00 4 142,608 0.60
40000.01 - 50000.00 11 491,983 2.05
50000.01 - 60000.00 9 499,374 2.08
60000.01 - 70000.00 7 454,267 1.90
70000.01 - 80000.00 7 514,828 2.15
80000.01 - 90000.00 17 1,448,318 6.04
90000.01 - 100000.00 14 1,309,319 5.46
100000.01 - 110000.00 15 1,589,328 6.63
110000.01 - 120000.00 9 1,049,250 4.38
120000.01 - 130000.00 4 491,328 2.05
130000.01 - 140000.00 13 1,740,188 7.26
140000.01 - 150000.00 12 1,751,939 7.31
150000.01 - 160000.00 9 1,412,305 5.89
160000.01 - 170000.00 3 496,103 2.07
170000.01 - 180000.00 2 358,000 1.49
180000.01 - 190000.00 3 562,666 2.35
190000.01 - 200000.00 7 1,379,575 5.76
200000.01 - 250000.00 17 3,846,464 16.05
250000.01 - 300000.00 1 288,277 1.20
350000.01 - 400000.00 2 743,211 3.10
400000.01 - 450000.00 2 862,000 3.60
500000.01 - 550000.00 1 548,125 2.29
600000.01 - 650000.00 2 1,246,905 5.20
650000.01 - 700000.00 1 691,125 2.88
================================================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
349 - 360 174 23,966,419 100.00
WTD AVERAGE: 360
================================================================================
REMAINING TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
348.01 - 360.00 174 23,966,419 100.00
WTD AVERAGE: 385.50
================================================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
SINGLE FAMILY 148 19,391,277 80.91
CONDOMINIUM 1 204,000 0.85
2-4 FAMILY 17 2,497,084 10.42
MANUFACTURED HOUSING 1 76,500 0.32
PLANNED UNIT DEVELOPMENT 7 1,797,557 7.50
================================================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
OWNER OCCUPIED 167 23,193,943 96.78
NON-OWNER OCCUPIED 7 772,475 3.22
================================================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
PURCHASE 92 12,433,507 51.88
REFINANCE 12 1,572,442 6.56
CASHOUT 70 9,960,470 41.56
================================================================================
LIEN POSITION LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1 174 23,966,419 100.00
================================================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
AA 19 2,362,821 9.86
ANIV 15 2,025,059 8.45
FD 24 4,127,112 17.22
I 45 6,432,514 26.84
II 15 1,698,275 7.09
III 18 2,383,579 9.95
IV 27 3,066,758 12.80
SE 7 1,579,523 6.59
V 4 290,779 1.21
================================================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
25.01 - 30.00 1 60,000 0.25
40.01 - 45.00 2 77,069 0.32
45.01 - 50.00 2 98,676 0.41
50.01 - 55.00 1 94,500 0.39
60.01 - 65.00 3 238,779 1.00
65.01 - 70.00 15 1,825,160 7.62
70.01 - 75.00 17 3,099,796 12.93
75.01 - 80.00 44 6,292,332 26.25
80.01 - 85.00 44 5,361,042 22.37
85.01 - 90.00 45 6,819,065 28.45
WTD AVERAGE: 81.28
- --------------------------------------------------------------------------------
Active Filter: Product="6 mo LIBOR" Requested by: VO.32
18
<PAGE>
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE BALANCE WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
588 $ 63,817,110 $ 108,533 10.721 8.125 14.375 357.9 359.2
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
79.4 6.130 3.500 8.750 16.721 14.125 20.375 100 9.721 7.125 13.375 100
================================================================================
================================================================================
STATE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
NY 77 10,961,439 17.18
PA 96 8,632,403 13.53
NJ 46 6,096,363 9.51
MI 58 5,672,908 8.89
FL 51 4,540,021 7.11
CO 29 4,247,567 6.66
IL 38 3,715,738 5.82
CT 29 3,054,350 4.79
WA 17 2,358,150 3.70
AZ 23 2,315,221 3.63
UT 16 2,253,218 3.53
MD 14 1,779,195 2.79
GA 14 1,458,779 2.29
WI 14 1,002,698 1.57
OR 11 963,147 1.51
SC 11 904,154 1.42
NM 5 607,074 0.95
CA 3 601,777 0.94
IN 9 542,437 0.85
OH 7 458,877 0.72
NC 6 388,133 0.61
MA 3 329,915 0.52
NV 3 297,204 0.47
DE 3 277,487 0.43
KY 1 89,470 0.14
MN 1 85,600 0.13
VA 1 81,250 0.13
DC 1 76,000 0.12
ID 1 53,535 0.08
================================================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
169 - 180 1 41,538 0.07
229 - 240 8 362,665 0.57
349 - 360 579 63,412,907 99.37
WTD AVERAGE: 359
================================================================================
REMAINING TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
168.01 - 180.00 1 41,538 0.07
228.01 - 240.00 8 362,665 0.57
348.01 - 360.00 579 63,412,907 99.37
WTD AVERAGE: 357.95
================================================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10000.01 - 20000.00 5 80,729 0.13
20000.01 - 30000.00 8 204,859 0.32
30000.01 - 40000.00 30 1,064,219 1.67
40000.01 - 50000.00 42 1,911,465 3.00
50000.01 - 60000.00 65 3,595,828 5.63
60000.01 - 70000.00 47 3,017,049 4.73
70000.01 - 80000.00 44 3,280,526 5.14
80000.01 - 90000.00 43 3,637,527 5.70
90000.01 - 100000.00 46 4,391,925 6.88
100000.01 - 110000.00 36 3,800,289 5.95
110000.01 - 120000.00 39 4,503,037 7.06
120000.01 - 130000.00 31 3,901,870 6.11
130000.01 - 140000.00 26 3,516,406 5.51
140000.01 - 150000.00 17 2,496,999 3.91
150000.01 - 160000.00 18 2,777,436 4.35
160000.01 - 170000.00 9 1,496,876 2.35
170000.01 - 180000.00 9 1,582,775 2.48
180000.01 - 190000.00 7 1,294,741 2.03
190000.01 - 200000.00 7 1,366,787 2.14
200000.01 - 250000.00 41 9,228,424 14.46
250000.01 - 300000.00 9 2,525,537 3.96
300000.01 - 350000.00 2 639,308 1.00
350000.01 - 400000.00 2 764,500 1.20
400000.01 - 450000.00 2 869,250 1.36
450000.01 - 500000.00 1 499,000 0.78
500000.01 - 550000.00 1 525,300 0.82
800000.01 - 850000.00 1 844,447 1.32
================================================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
SINGLE FAMILY 500 51,757,288 81.10
CONDOMINIUM 1 233,894 0.37
2-4 FAMILY 56 7,423,318 11.63
MANUFACTURED HOUSING 11 524,803 0.82
PLANNED UNIT DEVELOPMENT 20 3,877,807 6.08
================================================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
OWNER OCCUPIED 562 61,628,429 96.57
NON-OWNER OCCUPIED 26 2,188,681 3.43
================================================================================
LIEN POSITION LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1 588 63,817,110 100.00
================================================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
8.000 - 8.249 1 844,447 1.32
8.250 - 8.499 6 541,292 0.85
8.500 - 8.749 10 892,968 1.40
8.750 - 8.999 12 1,627,775 2.55
9.000 - 9.249 9 878,770 1.38
9.250 - 9.499 18 2,486,495 3.90
9.500 - 9.749 31 3,057,795 4.79
9.750 - 9.999 46 4,644,348 7.28
10.000 - 10.249 45 5,176,656 8.11
10.250 - 10.499 46 4,438,134 6.95
10.500 - 10.749 77 8,494,377 13.31
10.750 - 10.999 45 5,271,485 8.26
11.000 - 11.249 52 5,510,802 8.64
11.250 - 11.499 39 4,502,056 7.05
11.500 - 11.749 40 4,380,881 6.86
11.750 - 11.999 13 1,360,225 2.13
12.000 - 12.249 12 1,173,398 1.84
12.250 - 12.499 25 2,681,181 4.20
12.500 - 12.749 22 2,287,474 3.58
12.750 - 12.999 15 1,415,648 2.22
13.000 - 13.249 13 1,054,022 1.65
13.250 - 13.499 4 379,693 0.59
13.500 - 13.749 4 447,885 0.70
13.750 - 13.999 2 237,550 0.37
14.250 - 14.499 1 31,750 0.05
WTD AVERAGE: 10.721
================================================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
PURCHASE 255 28,398,417 44.50
REFINANCE 58 6,474,472 10.15
CASHOUT 275 28,944,221 45.35
================================================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
AA 37 4,160,201 6.52
ANIV 48 6,533,630 10.24
FD 71 9,554,866 14.97
I 144 15,473,055 24.25
II 68 6,946,978 10.89
III 67 7,612,484 11.93
IV 98 8,358,455 13.10
SE 33 3,530,390 5.53
V 22 1,647,050 2.58
- --------------------------------------------------------------------------------
Active Filter: Product="2/28 LIBOR" Requested by: VO.32
19
<PAGE>
Merrill Lynch Mortgage Capital, Inc. *** Transactions Finance Group ***
Portfolio: S:\DATA\DEALS\ALLIANCE\ALLIAN~1\972FIN.DBF 06/13/1997 16:30 Page 2
---------------------
2/28 LIBOR LOANS ONLY
---------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE BALANCE WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
588 $ 63,817,110 $ 108,533 10.721 8.125 14.375 357.9 359.2
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
79.4 6.130 3.500 8.750 16.721 14.125 20.375 100 9.721 7.125 13.375 100
================================================================================
================================================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10.01 - 15.00 1 12,000 0.02
20.01 - 25.00 1 30,000 0.05
25.01 - 30.00 2 45,992 0.07
30.01 - 35.00 1 55,000 0.09
35.01 - 40.00 5 426,816 0.67
40.01 - 45.00 4 132,191 0.21
45.01 - 50.00 8 724,147 1.13
50.01 - 55.00 7 667,505 1.05
55.01 - 60.00 15 1,005,145 1.58
60.01 - 65.00 28 3,602,516 5.65
65.01 - 70.00 48 4,425,496 6.93
70.01 - 75.00 62 7,209,779 11.30
75.01 - 80.00 145 15,286,830 23.95
80.01 - 85.00 123 15,032,326 23.56
85.01 - 90.00 138 15,161,368 23.76
WTD AVERAGE: 79.36
- --------------------------------------------------------------------------------
Active Filter: PRODUCT="2/28 LIBOR" Requested by: V0.32
20
<PAGE>
Merrill Lynch Mortgage Capital, Inc. *** Transactions Finance Group ***
Portfolio: S:\DATA\DEALS\ALLIANCE\ALLIAN~1\972FIN.DBF 06/13/1997 16:32 Page 1
---------------------------------
1 YEAR CMT AND 3/1 CMT LOANS ONLY
---------------------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
240 $ 31,381,313 $ 130,755 8.748 5.500 12.125 322.8 358.0
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
75.6 3.756 1.875 8.250 13.342 10.500 18.125 100 9.837 7.125 12.125 29
================================================================================
================================================================================
STATE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
IL 185 22,228,079 70.83
CO 13 2,046,954 6.52
NY 9 1,766,544 5.63
NJ 10 1,755,433 5.59
IN 3 931,100 2.97
UT 6 929,437 2.96
GA 4 630,546 2.01
PA 3 460,679 1.47
MA 1 176,172 0.56
WA 1 135,897 0.43
OH 2 128,616 0.41
CT 1 102,000 0.33
RI 1 59,857 0.19
MI 1 30,000 0.10
================================================================================
================================================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10000.01 - 20000.00 1 18,033 0.06
20000.01 - 30000.00 5 130,850 0.42
30000.01 - 40000.00 5 190,983 0.61
40000.01 - 50000.00 10 443,474 1.41
50000.01 - 60000.00 18 1,002,701 3.20
60000.01 - 70000.00 16 1,065,703 3.40
70000.01 - 80000.00 15 1,125,256 3.59
80000.01 - 90000.00 13 1,110,984 3.54
90000.01 - 100000.00 29 2,767,262 8.82
100000.01 - 110000.00 13 1,348,336 4.30
110000.01 - 120000.00 18 2,067,754 6.59
120000.01 - 130000.00 8 1,003,047 3.20
130000.01 - 140000.00 16 2,159,154 6.88
140000.01 - 150000.00 6 862,827 2.75
150000.01 - 160000.00 8 1,224,513 3.90
160000.01 - 170000.00 6 993,170 3.16
170000.01 - 180000.00 8 1,403,984 4.47
180000.01 - 190000.00 2 369,817 1.18
190000.01 - 200000.00 7 1,365,955 4.35
200000.01 - 250000.00 14 3,119,274 9.94
250000.01 - 300000.00 10 2,762,060 8.80
300000.01 - 350000.00 3 1,007,528 3.21
350000.01 - 400000.00 6 2,253,188 7.18
450000.01 - 500000.00 2 957,260 3.05
600000.01 - 650000.00 1 628,200 2.00
================================================================================
LIEN POSITION LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1 240 31,381,313 100.00
================================================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
5.500 - 5.749 2 261,831 0.83
7.000 - 7.249 1 90,000 0.29
7.250 - 7.499 1 191,250 0.61
7.500 - 7.749 3 175,468 0.56
8.000 - 8.249 27 3,249,290 10.35
8.250 - 8.499 123 15,274,202 48.67
8.500 - 8.749 39 5,079,658 16.19
8.750 - 8.999 5 775,584 2.47
9.250 - 9.499 4 630,025 2.01
9.500 - 9.749 4 451,547 1.44
9.750 - 9.999 3 368,231 1.17
10.000 - 10.249 6 1,105,286 3.52
10.500 - 10.749 5 903,060 2.88
10.750 - 10.999 6 1,027,873 3.28
11.000 - 11.249 2 440,410 1.40
11.250 - 11.499 3 503,297 1.60
11.500 - 11.749 3 262,000 0.83
11.750 - 11.999 2 318,000 1.01
12.000 - 12.249 1 274,300 0.87
WTD AVERAGE: 8.748
================================================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
169.00 - 180.00 5 348,309 1.11
349.00 - 360.00 235 31,033,004 98.89
WTD AVERAGE: 358.00
================================================================================
REMAINING TERM LOANS CURRENT BAL %POOL
120.01 - 132.00 2 135,101 0.43
132.01 - 144.00 3 213,208 0.68
204.01 - 216.00 1 81,082 0.26
216.01 - 228.00 2 199,203 0.63
264.01 - 276.00 1 78,822 0.25
276.01 - 288.00 2 173,875 0.55
288.01 - 300.00 6 1,092,090 3.48
300.01 - 312.00 72 8,710,411 27.76
312.01 - 324.00 87 10,557,557 33.64
324.01 - 336.00 9 986,730 3.14
348.01 - 360.00 55 9,153,235 29.17
WTD AVERAGE: 322.80
================================================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
SINGLE FAMILY 183 25,257,749 80.49
CONDOMINIUM 40 3,592,071 11.45
2-4 FAMILY 14 2,104,756 6.71
MULTI-FAMILY 3 426,737 1.36
================================================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
OWNER OCCUPIED 230 30,445,663 97.02
NON-OWNER OCCUPIED 10 935,650 2.98
================================================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
PURCHASE 82 10,088,908 32.15
REFINANCE 14 2,614,216 8.33
CASHOUT 144 18,678,189 59.52
================================================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
A 185 22,228,079 70.83
AA 6 861,759 2.75
ANIV 6 1,450,288 4.62
FD 12 1,897,204 6.05
I 13 2,006,265 6.39
II 3 406,256 1.29
III 4 778,165 2.48
IV 8 1,224,139 3.90
SE 3 529,159 1.69
- --------------------------------------------------------------------------------
Active Filter: PRODUCT="1 YR CMT" OR PRODUCT="3/1 YR CMT" Requested by: V0.32
21
<PAGE>
Merrill Lynch Mortgage Capital, Inc. *** Transactions Finance Group ***
Portfolio: S:\DATA\DEALS\ALLIANCE\ALLIAN~1\972FIN.DBF 06/13/1997 16:32 Page 2
---------------------------------
1 YEAR CMT AND 3/1 CMT LOANS ONLY
---------------------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
240 $ 31,381,313 $ 130,755 8.748 5.500 12.125 322.8 358.0
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
75.6 3.756 1.875 8.250 13.342 10.500 18.125 100 9.837 7.125 12.125 29
================================================================================
================================================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10.01 - 15.00 1 27,690 0.09
20.01 - 25.00 1 28,386 0.09
25.01 - 30.00 2 101,668 0.32
30.01 - 35.00 3 155,717 0.50
35.01 - 40.00 2 318,489 1.01
40.01 - 45.00 3 409,443 1.30
45.01 - 50.00 6 563,389 1.80
50.01 - 55.00 10 1,484,049 4.73
55.01 - 60.00 6 548,414 1.75
60.01 - 65.00 6 1,008,339 3.21
65.01 - 70.00 23 3,413,584 10.88
70.01 - 75.00 33 4,076,933 12.99
75.01 - 80.00 81 10,583,836 33.73
80.01 - 85.00 23 3,291,969 10.49
85.01 - 90.00 40 5,369,407 17.11
WTD AVERAGE: 75.56
- --------------------------------------------------------------------------------
Active Filter: PRODUCT="1 YR CMT" OR PRODUCT="3/1 YR CMT" Requested by: V0.32
22
<PAGE>
[LOGO] MERRILL LYNCH COMPUTATIONAL MATERIALS
================================================================================
AFC MORTGAGE LOAN ASSET BACKED CERTIFICATES, SERIES 1997-2
$302,000,000 (APPROXIMATE)
ADDITION TO COMPUTATIONAL MATERIALS
- --------------------------------------------------------------------------------
The following pages contain additional tables that were not included in the
previously distributed computational materials. The new tables document "Months
to Roll" and "Periodic Rate Cap" for the ARMs.
- --------------------------------------------------------------------------------
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. Those 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) 449-3639.
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
- --------------------------------------------------------------------------------
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>
Merrill Lynch Mortgage Capital, Inc. *** Transactions Finance Group ***
Portfolio: S:\DATA\DEALS\ALLIANCE\ALLIAN~1\972FIN.DBF 06/16/1997 13:40 Page 1
------------------------------
ALLIANCE ADJUSTABLE RATE LOANS
------------------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
1,002 $ 119,164,842 $ 118,927 10.045 5.500 14.375 348.8 359.0
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
78.7 5.531 1.875 8.750 15.667 10.500 20.375 100 9.778 7.125 13.375 81
================================================================================
================================================================================
STATE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
IL 241 28,456,501 23.88
NY 112 17,504,051 14.69
NJ 78 10,933,144 9.17
PA 120 10,901,645 9.15
MI 80 8,489,232 7.12
CO 49 7,594,072 6.37
FL 52 4,624,021 3.88
CT 38 3,780,700 3.17
UT 27 3,725,857 3.13
AZ 31 3,330,366 2.79
GA 25 2,983,262 2.50
MD 24 2,926,183 2.46
WA 21 2,798,502 2.35
IN 13 1,587,537 1.33
CA 5 1,344,988 1.13
WI 17 1,332,598 1.12
OH 13 1,142,392 0.96
OR 12 1,072,897 0.90
SC 11 904,154 0.76
MA 6 869,887 0.73
VA 2 694,555 0.58
NM 5 607,074 0.51
NC 8 556,061 0.47
NV 3 297,204 0.25
DE 3 277,487 0.23
DC 2 144,000 0.12
KY 1 89,470 0.08
MN 1 85,600 0.07
RI 1 59,857 0.05
ID 1 53,535 0.04
================================================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
169- 180 6 389,847 0.33
229- 240 8 362,665 0.30
349- 360 988 118,412,330 99.37
WTD AVERAGE: 359
================================================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
SINGLE FAMILY 831 96,406,314 80.90
CONDOMINIUM 42 4,029,965 3.38
2-4 FAMILY 87 12,025,159 10.09
MANUFACTURED HOUSING 12 601,303 0.50
PLANNED UNIT DEVELOPMENT 27 5,675,364 4.76
MULTI-FAMILY 3 426,737 0.36
================================================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10000.01- 20000.00 6 98,761 0.08
20000.01- 30000.00 15 384,641 0.32
30000.01- 40000.00 39 1,397,809 1.17
40000.01- 50000.00 63 2,846,922 2.39
50000.01- 60000.00 92 5,097,904 4.28
60000.01- 70000.00 70 4,537,019 3.81
70000.01- 80000.00 66 4,920,610 4.13
80000.01- 90000.00 73 6,196,829 5.20
90000.01- 100000.00 89 8,468,506 7.11
100000.01- 110000.00 64 6,737,953 5.65
110000.01- 120000.00 66 7,620,041 6.39
120000.01- 130000.00 43 5,396,244 4.53
130000.01- 140000.00 55 7,415,749 6.22
140000.01- 150000.00 35 5,111,765 4.29
150000.01- 160000.00 35 5,414,255 4.54
160000.01- 170000.00 18 2,986,150 2.51
170000.01- 180000.00 19 3,344,759 2.81
180000.01- 190000.00 12 2,227,224 1.87
190000.01- 200000.00 21 4,112,317 3.45
200000.01- 250000.00 72 16,194,162 13.59
250000.01- 300000.00 20 5,575,874 4.68
300000.01- 350000.00 5 1,646,836 1.38
350000.01- 400000.00 10 3,760,899 3.16
400000.01- 450000.00 4 1,731,250 1.45
450000.01- 500000.00 3 1,456,260 1.22
500000.01- 550000.00 2 1,073,425 0.90
600000.01- 650000.00 3 1,875,105 1.57
650000.01- 700000.00 1 691,125 0.58
800000.01- 850000.00 1 844,447 0.71
================================================================================
REMAINING TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
120.01- 132.00 2 135,101 0.11
132.01- 144.00 3 213,208 0.18
168.01- 180.00 1 41,538 0.03
204.01- 216.00 1 81,082 0.07
216.01- 228.00 2 199,203 0.17
228.01- 240.00 8 362,665 0.30
264.01- 276.00 1 78,822 0.07
276.01- 288.00 2 173,875 0.15
288.01- 300.00 6 1,092,090 0.92
300.01- 312.00 72 8,710,411 7.31
312.01- 324.00 87 10,557,557 8.86
324.01- 336.00 9 986,730 0.83
348.01- 360.00 808 96,532,561 81.01
WTD AVERAGE: 348.80
================================================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
5.500- 5.749 2 261,831 0.22
7.000- 7.249 1 90,000 0.08
7.250- 7.499 3 510,450 0.43
7.500- 7.749 4 379,468 0.32
7.750- 7.999 3 408,030 0.34
8.000- 8.249 28 4,093,737 3.44
8.250- 8.499 133 16,277,445 13.66
8.500- 8.749 56 6,710,380 5.63
8.750- 8.999 26 3,519,021 2.95
9.000- 9.249 22 2,652,998 2.23
9.250- 9.499 27 4,665,622 3.92
9.500- 9.749 60 6,590,497 5.53
9.750- 9.999 71 7,991,629 6.71
10.000- 10.249 65 8,995,795 7.55
10.250- 10.499 67 7,858,450 6.59
10.500- 10.749 90 10,383,524 8.71
10.750- 10.999 57 6,855,669 5.75
11.000- 11.249 60 6,580,018 5.52
11.250- 11.499 53 6,378,332 5.35
11.500- 11.749 51 5,432,412 4.56
11.750- 11.999 20 2,132,634 1.79
12.000- 12.249 15 1,691,698 1.42
12.250- 12.499 26 2,749,181 2.31
12.500- 12.749 23 2,389,474 2.01
12.750- 12.999 15 1,415,648 1.19
13.000- 13.249 13 1,054,022 0.88
13.250- 13.499 4 379,693 0.32
13.500- 13.749 4 447,885 0.38
13.750- 13.999 2 237,550 0.20
14.250- 14.499 1 31,750 0.03
WTD AVERAGE- 10.045
================================================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
OWNER OCCUPIED 959 115,268,036 96.73
NON-OWNER OCCUPIED 43 3,896,807 3.27
================================================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
PURCHASE 429 50,920,832 42.73
REFINANCE 84 10,661,130 8.95
CASHOUT 489 57,582,881 48.32
- --------------------------------------------------------------------------------
Active Filter: ARMORFIX= "2" Requested by: V0.32
[LOGO] Merrill Lynch
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.
2
<PAGE>
Merrill Lynch Mortgage Capital, Inc. *** Transactions Finance Group ***
Portfolio: S:\DATA\DEALS\ALLIANCE\ALLIAN~1\972FIN.DBF 06/16/1997 13:40 Page 2
------------------------------
ALLIANCE ADJUSTABLE RATE LOANS
------------------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
1,002 $ 119,164,842 $ 118,927 10.045 5.500 14.375 348.8 359.0
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
78.7 5.531 1.875 8.750 15.667 10.500 20.375 100 9.778 7.125 13.375 81
================================================================================
================================================================================
LIEN POSITION LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1 1,002 119,164,842 100.00
================================================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
A 185 22,228,079 18.65
AA 62 7,384,781 6.20
ANIV 69 10,008,977 8.40
FD 107 15,579,182 13.07
I 202 23,911,834 20.07
II 86 9,051,510 7.60
III 89 10,774,228 9.04
IV 133 12,649,352 10.62
SE 43 5,639,071 4.73
V 26 1,937,829 1.63
================================================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10.01- 15.00 2 39,690 0.03
20.01- 25.00 2 58,386 0.05
25.01- 30.00 5 207,660 0.17
30.01- 35.00 4 210,717 0.18
35.01- 40.00 7 745,305 0.63
40.01- 45.00 9 618,703 0.52
45.01- 50.00 16 1,386,212 1.16
50.01- 55.00 18 2,246,055 1.88
55.01- 60.00 21 1,553,560 1.30
60.01- 65.00 37 4,849,634 4.07
65.01- 70.00 86 9,664,240 8.11
70.01- 75.00 112 14,386,507 12.07
75.01- 80.00 270 32,162,997 26.99
80.01- 85.00 190 23,685,338 19.88
85.01- 90.00 223 27,349,839 22.95
WTD AVERAGE: 78.75
================================================================================
PERCAP LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1,000 762 87,783,529 73.67
2,000 240 31,381,313 26.33
================================================================================
MONTHS TO NEXT ADJ DATE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1 21 2,406,873 2.02
2 16 2,041,866 1.71
3 28 3,566,545 2.99
4 58 7,328,879 6.15
5 119 17,214,685 14.45
6 87 12,009,755 10.08
7 17 1,976,573 1.56
8 22 3,005,952 2.52
9 13 1,358,405 1.14
10 9 1,014,835 0.85
11 8 1,289,393 1.08
12 14 1,888,671 1.58
17 1 73,235 0.06
18 2 321,566 0.27
19 17 1,503,126 1.26
20 24 2,455,260 2.06
21 17 2,005,400 1.68
22 115 12,734,414 10.69
23 243 27,128,771 22.77
24 171 17,840,638 14.97
- --------------------------------------------------------------------------------
Active Filter: ARMORFIX= "2" Requested by: V0.32
[LOGO] Merrill Lynch
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.
4
<PAGE>
Merrill Lynch Mortgage Capital, Inc. *** Transactions Finance Group ***
Portfolio: S:\DATA\DEALS\ALLIANCE\ALLIAN~1\972FIN.DBF 06/16/1997 13:42 Page 1
------------------------
6 MONTH LIBOR LOANS ONLY
------------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
174 $ 23,966,419 $ 137,738 9.944 7.375 12.625 358.5 360.0
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
81.3 6.260 3.750 8.500 15.907 13.375 18.625 100 9.907 7.375 12.625 100
================================================================================
================================================================================
STATE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
NY 26 4,776,078 19.93
NJ 22 3,108,348 12.97
MI 21 2,786,323 11.63
IL 18 2,512,684 10.48
PA 21 1,808,562 7.55
CO 7 1,299,551 5.42
MD 10 1,146,988 4.79
AZ 8 1,015,145 4.24
GA 7 893,938 3.73
CA 2 743,211 3.10
CT 8 624,351 2.61
VA 1 613,305 2.56
OH 4 553,900 2.31
UT 5 543,202 2.27
MA 2 363,800 1.52
WI 3 329,900 1.38
0A 3 304,455 1.27
NC 2 167,928 0.70
IN 1 114,000 0.48
OR 1 108,750 0.45
FL 1 84,000 0.35
DC 1 68,000 0.28
================================================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
7.250 - 7.499 2 319,200 1.33
7.500 - 7.749 1 204,000 0.85
7.750 - 7.999 3 408,030 1.70
8.250 - 8.499 4 461,951 1.93
8.500 - 8.749 7 737,754 3.08
8.750 - 8.999 9 1,115,661 4.66
9.000 - 9.249 13 1,774,228 7.40
9.250 - 9.499 5 1,549,102 6.46
9.500 - 9.749 25 3,081,154 12.86
9.750 - 9.999 22 2,979,050 12.43
10.000 - 10.249 14 2,713,852 11.32
10.250 - 10.499 21 3,420,316 14.27
10.500 - 10.749 8 986,086 4.11
10.750 - 10.999 6 556,311 2.32
11.000 - 11.249 6 628,806 2.62
11.250 - 11.499 11 1,372,979 5.73
11.500 - 11.749 8 789,531 3.29
11.750 - 11.999 5 454,409 1.90
12.000 - 12.249 2 244,000 1.02
12.250 - 12.499 1 68,000 0.28
12.500 - 12.749 1 102,000 0.43
WTD AVERAGE: 9.944
- --------------------------------------------------------------------------------
================================================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
20000.01 - 30000.00 2 48,932 0.20
30000.01 - 40000.00 4 142,608 0.60
40000.01 - 50000.00 11 491,983 2.05
50000.01 - 60000.00 9 499,374 2.08
60000.01 - 70000.00 7 454,257 1.90
70000.01 - 80000.00 7 514,828 2.15
80000.01 - 90000.00 17 1,448,318 6.04
90000.01 - 100000.00 14 1,309,319 5.46
100000.01 - 110000.00 15 1,589,328 6.63
110000.01 - 120000.00 9 1,049,250 4.38
120000.01 - 130000.00 4 491,328 2.05
130000.01 - 140000.00 13 1,740,188 7.26
140000.01 - 150000.00 12 1,751,939 7.31
150000.01 - 160000.00 9 1,412,305 5.89
160000.01 - 170000.00 3 496,103 2.07
170000.01 - 180000.00 2 358,000 1.49
180000.01 - 190000.00 3 562,666 2.35
190000.01 - 200000.00 7 1,379,576 5.76
200000.01 - 250000.00 17 3,846,464 16.05
250000.01 - 300000.00 1 288,277 1.20
350000.01 - 400000.00 2 743,211 3.10
400000.01 - 450000.00 2 862,000 3.60
500000.01 - 550000.00 1 548,125 2.29
600000.01 - 650000.00 2 1,246,905 5.20
650000.01 - 700000.00 1 691,125 2.88
================================================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
349 - 360 174 23,966,419 100.00
WTD AVERAGE: 360
================================================================================
REMAINING TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
348.01 - 360.00 174 23,966,419 100.00
WTD AVERAGE: 358.50
================================================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
SINGLE FAMILY 148 19,391,277 80.91
CONDOMINIUM 1 204,000 0.85
2-4 FAMILY 17 2,497,094 10.42
MANUFACTURED HOUSING 1 76,500 0.32
PLANNED UNIT DEVELOPMENT 7 1,797,557 7.50
================================================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
OWNER OCCUPIED 167 21,193,943 96.78
NON-OWNER OCCUPIED 7 772,475 3.22
================================================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
PURCHASE 92 12,433,507 51.88
REFINANCE 12 1,572,442 6.56
CASHOUT 70 9,960,470 41.56
================================================================================
LIEN POSITION LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1 174 23,966,419 100.00
================================================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
AA 19 2,362,821 9.86
ANIV 15 2,025,059 9.45
FD 24 4,127,112 17.22
I 45 6,432,514 26.84
II 15 1,698,275 7.09
III 18 2,383,579 9.95
IV 27 3,066,758 12.80
SE 7 1,579,523 6.59
V 4 290,779 1.21
================================================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
25.01 - 30.00 1 60,000 0.25
40.01 - 45.00 2 77,069 0.32
45.01 - 50.00 2 98,676 0.41
50.01 - 55.00 1 94,500 0.39
60.01 - 65.00 3 238,779 1.00
65.01 - 70.00 15 1,825,160 7.62
70.01 - 75.00 17 3,099,796 12.93
75.01 - 80.00 44 6,292,332 26.25
80.01 - 85.00 44 5,361,042 22.37
85.01 - 90.00 45 6,819,065 28.45
WTD AVERAGE: 81.28
================================================================================
PRECAP LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1,000 174 23,966,419 100.00
- --------------------------------------------------------------------------------
Active Filter: PRODUCT="6 mo LIBOR" Requested by: V0.32
[LOGO] MERRILL LYNCH
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.
5
<PAGE>
Merrill Lynch Mortgage Capital, Inc. *** Transactions Finance Group ***
Portfolio: S:\DATA\DEALS\ALLIANCE\ALLIAN~1\972FIN.DBF 06/16/1997 13:42 Page 2
------------------------
6 MONTH LIBOR LOANS ONLY
------------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
174 $ 23,966,419 $ 137,738 9.944 7.375 12.625 358.5 360.0
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
81.3 6.260 3.750 8.500 15.907 13.375 18.625 100 9.907 7.375 12.625 100
================================================================================
================================================================================
MONTHS TO NEXT ADJ DATE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1 4 549,699 2.29
2 2 314,547 1.31
3 9 1,262,465 5.27
4 34 4,476,316 18.68
5 76 11,325,282 47.25
6 47 5,792,808 24.17
23 1 168,800 0.70
24 1 76,500 0.32
- --------------------------------------------------------------------------------
Active Filter: PRODUCT="6 mo LIBOR" Requested by: V0.32
[LOGO] MERRILL LYNCH
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.
6
<PAGE>
Merrill Lynch Mortgage Capital, Inc. *** Transactions Finance Group ***
Portfolio: S:\DATA\DEALS\ALLIANCE\ALLIAN~1\972FIN.DBF 06/16/1997 13:41 Page 1
---------------------------------
2/28 LIBOR LOANS ONLY
---------------------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE BALANCE WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
588 $ 63,817,110 $ 108,533 10.721 8.125 14.375 357.9 359.2
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
79.4 6.130 3.500 8.750 16.721 14.125 20.375 100 9.721 7.125 13.375 100
================================================================================
================================================================================
STATE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
NY 77 10,961,439 17.18
PA 96 8,632,403 13.53
NJ 46 6,069,363 9.51
MI 58 5,672,908 8.89
FL 51 4,540,021 7.11
CO 29 4,247,567 6.66
IL 38 3,715,738 5.82
CT 29 3,054,350 4.79
WA 17 2,358,150 3.70
AZ 23 2,315,221 3.63
UT 16 2,253,218 3.53
MO 14 1,779,195 2.79
GA 14 1,458,779 2.29
WI 14 1,002,698 1.67
OR 11 963,147 1.61
SC 11 904,154 1.42
NM 5 607,074 0.95
CA 3 601,777 0.94
IN 9 542,437 0.85
OH 7 458,677 0.72
NC 6 388,133 0.61
MA 3 329,915 0.62
NV 3 297,204 0.47
DE 3 277,487 0.43
KY 1 89,470 0.14
MN 1 85,600 0.13
VA 1 81,250 0.13
DC 1 76,000 0.12
ID 1 53,535 0.08
================================================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
169 - 180 1 41,538 0.07
229 - 240 8 362,665 0.57
349 - 360 579 63,412,907 99.37
WTD AVERAGE: 359
================================================================================
REMAINING TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
168.01 - 180.00 1 41,538 0.07
228.01 - 240.00 8 362,665 0.57
348.01 - 360.00 579 63,412,907 99.37
WTD AVERAGE: 357.95
================================================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10000.01 - 20000.00 5 80,729 0.13
20000.01 - 30000.00 9 204,859 0.32
30000.01 - 40000.00 30 1,064,219 1.67
40000.01 - 50000.00 42 1,911,465 3.00
50000.01 - 60000.00 65 3,595,828 5.63
60000.01 - 70000.00 47 3,017,049 4.73
70000.01 - 80000.00 44 3,280,526 5.14
80000.01 - 90000.00 43 3,637,527 5.70
90000.01 - 100000.00 46 4,391,925 6.88
100000.01 - 110000.00 35 3,800,289 5.95
110000.01 - 120000.00 39 4,503,037 7.05
120000.01 - 130000.00 31 3,901,870 6.11
130000.01 - 140000.00 26 3,516,406 5.51
140000.01 - 150000.00 17 2,496,999 3.91
150000.01 - 160000.00 13 2,777,436 4.35
160000.01 - 170000.00 9 1,496,876 2.35
170000.01 - 180000.00 9 1,582,775 2.48
180000.01 - 190000.00 7 1,294,741 2.03
190000.01 - 200000.00 7 1,365,787 2.14
200000.01 - 250000.00 41 9,228,424 14.45
250000.01 - 300000.00 9 2,525,537 3.96
300000.01 - 350000.00 2 639,308 1.00
350000.01 - 400000.00 2 764,500 1.20
400000.01 - 450000.00 2 869,250 1.36
450000.01 - 500000.00 1 499,000 0.78
500000.01 - 550000.00 1 525,300 0.82
800000.01 - 850000.00 1 844,447 1.32
================================================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
SINGLE FAMILY 500 51,757,288 81.10
CONDOMINIUM 1 233,894 0.37
2-4 FAMILY 56 7,423,318 11.63
MANUFACTURED HOUSING 11 524,803 0.82
PLANNED UNIT DEVELOPMENT 20 3,877,807 6.08
================================================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
OWNER OCCUPIED 562 61,628,429 96.57
NON-OWNER OCCUPIED 26 2,188,681 3.43
================================================================================
LIEN POSITION LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1 588 63,817,110 100.00
================================================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
8.000 - 8.249 1 844,447 1.32
8.250 - 8.499 6 541,292 0.85
8.500 - 8.749 10 892,968 1.40
8.750 - 8.999 12 1,627,775 2.55
9.000 - 9.249 9 878,770 1.38
9.250 - 9.499 18 2,486,495 3.90
9.500 - 9.749 31 3,057,795 4.79
9.750 - 9.999 46 4,644,349 7.28
10.000 - 10.249 45 5,176,656 8.11
10.250 - 10.499 46 4,438,134 6.95
10.500 - 10.749 77 8,494,377 13.31
10.750 - 10.999 45 5,271,485 8.26
11.000 - 11.249 52 5,510,802 8.64
11.250 - 11.499 39 4,502,056 7.05
11.500 - 11.749 40 4,380,881 6.86
11.750 - 11.999 13 1,360,225 2.13
12.000 - 12.249 12 1,173,398 1.84
12.250 - 12.499 25 2,681,181 4.20
12.500 - 12.749 22 2,287,474 3.58
12.750 - 12.999 15 1,415,648 2.22
13.000 - 13.249 13 1,054,022 1.65
13.250 - 13.499 4 379,693 0.59
13.500 - 13.749 4 447,885 0.70
13.750 - 13.999 2 237,550 0.37
14.250 - 14.499 1 31,750 0.05
WTD AVERAGE: 10.721
================================================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
PURCHASE 255 28,398,417 44.50
REFINANCE 58 6,474,472 10.15
CASHOUT 275 28,944,221 45.35
================================================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
AA 37 4,160,201 6.52
ANIV 48 6,533,630 10.24
FD 71 9,554,866 14.97
I 144 15,473,055 24.25
II 68 6,946,978 10.89
III 67 7,612,484 11.93
IV 98 8,358,455 13.10
SE 33 3,530,390 5.53
V 22 1,647,050 2.59
- --------------------------------------------------------------------------------
Active Filter: PRODUCT="2/28 LIBOR" Requested by: V0.32
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.
7
<PAGE>
Merrill Lynch Mortgage Capital, Inc. *** Transactions Finance Group ***
Portfolio: S:\DATA\DEALS\ALLIANCE\ALLIAN~1\972FIN.DBF 06/16/1997 13:41 Page 2
---------------------
2/28 LIBOR LOANS ONLY
---------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
588 $ 63,817,110 $ 108,533 10.721 8.125 14.375 357.9 359.2
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
79.4 6.130 3.500 8.750 16.721 14.125 20.375 100 9.721 7.125 13.375 100
================================================================================
================================================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10.01 - 15.00 1 12,000 0.02
20.01 - 25.00 1 30,000 0.05
25.01 - 30.00 2 45,992 0.07
30.01 - 35.00 1 55,000 0.09
35.01 - 40.00 5 426,816 0.67
40.01 - 45.00 4 132,191 0.21
45.01 - 50.00 6 724,147 1.13
50.01 - 55.00 7 667,505 1.05
55.01 - 60.00 15 1,005,145 1.58
60.01 - 65.00 28 3,602,516 5.65
65.01 - 70.00 48 4,425,496 6.93
70.01 - 75.00 62 7,209,779 11.30
75.01 - 80.00 145 15,286,830 23.95
80.01 - 85.00 123 15,032,326 23.56
85.01 - 90.00 138 15,161,368 23.76
WTD AVERAGE: 79.36
================================================================================
MONTHS TO NEXT ADJ DATE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
17 1 73,235 0.11
18 2 321,566 0.50
19 17 1,503,126 2.36
20 24 2,455,260 3.85
21 17 2,005,400 3.14
22 115 12,734,414 19.95
23 242 26,959,971 42.25
24 170 17,764,138 27.84
================================================================================
PERCAP LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1.000 588 63,817,110 100.00
- --------------------------------------------------------------------------------
Active Filter: PRODUCT="2/28 LIBOR" Requested by: V0.32
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.
8
<PAGE>
Merrill Lynch Mortgage Capital, Inc. *** Transactions Finance Group ***
Portfolio: S:\DATA\DEALS\ALLIANCE\ALLIAN~1\972FIN.DBF 06/16/1997 13:41 Page 1
---------------------------------
1 YEAR CMT AND 3/1 CMT LOANS ONLY
---------------------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
240 $ 31,381,313 $ 130,755 8.748 5.500 12.125 322.8 358.0
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
75.6 3.756 1.875 8.250 13.342 10.500 18.125 100 9.837 7.125 12.125 29
================================================================================
================================================================================
STATE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
IL 185 22,228,079 70.83
CO 13 2,046,954 6.52
NY 9 1,766,544 5.63
NJ 10 1,755,433 5.59
IN 3 931,100 2.97
UT 6 929,437 2.96
GA 4 630,546 2.01
PA 3 460,679 1.47
MA 1 176,172 0.56
WA 1 135,897 0.43
OH 2 128,616 0.41
CT 1 102,000 0.33
RI 1 59,857 0.19
MI 1 30,000 0.10
================================================================================
================================================================================
CURRENT BALANCE REPORT LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10000.01 - 20000.00 1 18,033 0.06
20000.01 - 30000.00 5 130,850 0.42
30000.01 - 40000.00 5 190,983 0.61
40000.01 - 50000.00 10 443,474 1.41
50000.01 - 60000.00 18 1,002,701 3.20
60000.01 - 70000.00 169 1,065,703 3.40
70000.01 - 80000.00 15 1,125,256 3.59
80000.01 - 90000.00 13 1,110,984 3.54
90000.01 - 100000.00 29 2,767,262 8.82
100000.01 - 110000.00 13 1,348,336 4.30
110000.01 - 120000.00 18 2,067,754 6.59
120000.01 - 130000.00 8 1,003,047 3.20
130000.01 - 140000.00 16 2,159,154 6.88
140000.01 - 150000.00 6 862,827 2.75
150000.01 - 160000.00 8 1,224,513 3.90
160000.01 - 170000.00 6 993,170 3.16
170000.01 - 180000.00 8 1,403,984 4.47
180000.01 - 190000.00 2 369,817 1.18
190000.01 - 200000.00 7 1,365,955 4.35
200000.01 - 250000.00 14 3,119,274 9.94
250000.01 - 300000.00 10 2,762,060 8.80
300000.01 - 350000.00 3 1,007,528 3.21
350000.01 - 400000.00 6 2,253,188 7.18
450000.01 - 500000.00 2 957,260 3.05
600000.01 - 650000.00 1 628,200 2.00
================================================================================
LIEN POSITION LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1 240 31,381,313 100.00
================================================================================
MORTGAGE RATES LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
5.500 - 5.749 2 261,831 0.83
7.000 - 7.249 1 90,000 0.29
7.250 - 7.499 1 191,250 0.61
7.500 - 7.749 3 175,468 0.56
8.000 - 8.249 27 3,249,290 10.35
8.250 - 8.499 123 15,274,202 48.67
8.500 - 8.749 39 5,079,658 16.19
8.750 - 8.999 5 775,584 2.47
9.250 - 9.499 4 630,025 2.01
9.500 - 9.749 4 451,547 1.44
9.750 - 9.999 3 368,231 1.17
10.000 - 10.249 6 1,105,286 3.52
10.500 - 10.749 5 903,060 2.88
10.750 - 10.999 6 1,027,873 3.28
11.000 - 11.249 2 440,410 1.40
11.250 - 11.499 3 503,297 1.60
11.500 - 11.749 3 262,000 0.83
11.750 - 11.999 2 318,000 1.01
12.000 - 12.249 1 274,300 0.87
WTD AVERAGE: 8.748
================================================================================
ORIGINAL TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
169 - 180 5 348,309 1.11
349 - 360 235 31,033,004 98.89
WTD AVERAGE: 358
================================================================================
REMAINING TERM LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
120.01 - 132.00 2 135,101 0.43
132.01 - 144.00 3 213,208 0.68
204.01 - 216.00 1 81,082 0.26
216.01 - 228.00 2 199,203 0.63
264.01 - 276.00 1 78,822 0.25
276.01 - 288.00 2 173,875 0.55
288.01 - 300.00 6 1,092,090 3.48
300.01 - 312.00 72 8,710,411 27.76
312.01 - 324.00 87 10,557,557 33.64
324.01 - 336.00 9 986,730 3.14
348.01 - 360.00 55 9,153,235 29.17
WTD AVERAGE: 322.80
================================================================================
PERCAP LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
2.000 240 31,381,313 100.00
================================================================================
PROPERTY TYPE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
SINGLE FAMILY 183 25,257,749 80.49
CONDOMINIUM 40 3,592,071 11.45
2-4 FAMILY 14 2,104,756 6.71
MULTI-FAMILY 3 426,737 1.36
================================================================================
OCCUPANCY STATUS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
OWNER OCCUPIED 230 30,445,663 97.02
NON-OWNER OCCUPIED 10 935,650 2.98
================================================================================
LOAN PURPOSE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
PURCHASE 82 10,088,908 32.15
REFINANCE 14 2,614,216 9.33
CASHOUT 144 18,678,189 59.52
================================================================================
UNDERWRITING CLASS LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
A 185 22,228,079 70.83
AA 6 861,759 2.75
ANIV 6 1,450,288 4.62
FD 12 1,897,204 6.05
I 13 2,006,265 6.39
II 3 406,256 1.29
III 4 778,165 2.48
IV 8 1,224,139 3.90
SE 3 529,159 1.69
- --------------------------------------------------------------------------------
================================================================================
MONTHS TO NEXT ADJ DATE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
1 17 1,857,174 5.92
2 14 1,727,319 5.50
3 19 2,304,079 7.34
4 24 2,852,563 9.09
5 43 5,889,403 18.77
6 40 6,216,946 19.81
7 17 1,976,573 6.30
8 22 3,005,952 9.58
9 13 1,358,405 4.33
10 9 1,014,835 3.23
11 8 1,289,393 4.11
12 14 1,888,671 6.02
- --------------------------------------------------------------------------------
Active Filter: PRODUCT="1 YR CMT" OR PRODUCT="3/1 YR CMT" Requested by: V0.32
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.
9
<PAGE>
Merrill Lynch Mortgage Capital, Inc. *** Transactions Finance Group ***
Portfolio: S:\DATA\DEALS\ALLIANCE\ALLIAN~1\972FIN.DBF 06/16/1997 13:41 Page 2
-----------------------------
1 YEAR CMT AND 3/2 LOANS ONLY
-----------------------------
Report Profile: AFC971A SuperCrack Portfolio Summary Code File: 972FIN
================================================================================
< - P O O L T O T A L S - > AVERAGE < - - GROSS COUPON - - > < -RMNG TRM- >
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG
- --------------------------------------------------------------------------------
240 $ 31,381,313 $ 130,755 8.748 5.600 12.125 322.8 368.0
================================================================================
================================================================================
WTDAV < - - M A R G I N - - > < - -L I F E C A P- - > < - LIFE FLOOR - >
L T V WTDAV MIN MAX WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- --------------------------------------------------------------------------------
76.6 3.756 1.875 8.250 13.342 10.500 18.125 100 9.837 7.125 12.125 29
================================================================================
================================================================================
COMBINED LOAN-TO-VALUE LOANS CURRENT BAL %POOL
- --------------------------------------------------------------------------------
10.01 - 15.00 1 27,690 0.09
20.01 - 25.00 1 28,386 0.09
25.01 - 30.00 2 101,668 0.32
30.01 - 35.00 3 155,717 0.50
35.01 - 40.00 2 318,489 1.01
40.01 - 45.00 3 409,443 1.30
45.01 - 50.00 6 563,389 1.80
50.01 - 55.00 10 1,484,049 4.73
55.01 - 60.00 6 548,414 1.76
60.01 - 65.00 6 1,008,339 3.21
65.01 - 70.00 23 3,413,584 10.88
70.01 - 75.00 33 4,076,933 12.99
75.01 - 80.00 81 10,583,836 33.73
80.01 - 85.00 23 3,291,969 10.49
85.01 - 90.00 40 5,369,407 17.11
WTD AVERAGE: 75.56
- --------------------------------------------------------------------------------
Active Filter: PRODUCT="1 YR CMT" Requested by: V0.32
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.
10
