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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) September 18, 1998
SUPERIOR BANK FSB (as depositor under the Pooling and Servicing Agreement, dated
as of September 1, 1998, providing for the issuance of AFC Mortgage Loan Asset
Backed Certificates, Series 1998-3)
Superior Bank FSB
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(Exact name of registrant as specified in its charter)
United States 333-61691 36-1414142
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification Number)
One Lincoln Centre
Oakbrook Terrace, Illinois 60181
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (708) 916-4000
- -------------------------------------------------------------------------------
<PAGE>
-2-
Item 5. Other Events.
On or about September 24, 1998, the Registrant will cause the issuance
and sale of approximately $450,000,000 initial principal amount of AFC
Mortgage Loan Asset Backed Certificates, Series 1998-3, Class 1A-1, Class
1A-2 ("Class 1A"), Class 2A-1, Class 2A-2 ("Class 2A") and Class R
(together with Class 1A and Class 2A, the "Certificates") pursuant to a
Pooling and Servicing Agreement to be dated as of September 1, 1998, by and
between the Registrant, as depositor and servicer, and LaSalle National
Bank as trustee.
In connection with the sale of AFC Mortgage Loan Asset Backed
Certificates, Series 1998-3, Class 1A 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. 333-61691, 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The information in the Computational Materials will be superseded by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
99.1 99 Computational Materials
<PAGE>
-4-
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
SUPERIOR BANK FSB
By:/s/ William C. Bracken
Name: William C. Bracken
Title: Senior Vice President
and Chief Financial Officer
Dated: September 18, 1998
<PAGE>
-5-
EXHIBIT INDEX
-------------
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Exhibit No. Description Page
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99.1 Computational Materials 6
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[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
ABS New Transaction
Computational Materials
$450,000,000
AFC Mortgage Loan Asset Backed Certificates,
Series 1998-3
Superior Bank FSB
Depositor
Superior Bank FSB
Servicer
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
1
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are furnished to you solely by
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not by
the issuer of the securities or any of its affiliates. The issuer of these
securities has not prepared or taken part in the preparation of these materials.
Neither Merrill Lynch, the issuer of the securities nor any of its affiliates
makes any representation as to the accuracy or completeness of the information
herein. The information herein is preliminary, and will be superseded by the
applicable Prospectus Supplement and by any other information subsequently filed
with the Securities and Exchange Commission. The information herein may not be
provided by the addressees to any third party other than the addressee's legal,
tax, financial and/or accounting advisors for the purposes of evaluating said
material.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated therein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be construed
as either projections or predictions or as legal, tax, financial or accounting
advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment assumptions and actual prepayment experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower or
faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the securities may differ from those shown in the
Computational Materials due to differences between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the Computational
Materials are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with the Securities and Exchange Commission. This communication shall not
constitute an offer to sell or the solicitation of any offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for
definitive information on any matter discussed in this communication. A final
prospectus and prospectus supplement may be obtained by contacting the Merrill
Lynch Trading Desk at (212) 449-5320.
Please be advised that asset-backed securities may not be appropriate for all
investors. Potential investors must be willing to assume, among other things,
market price volatility, prepayments, yield curve and interest rate risk.
Investors should fully consider the risk of an investment in these securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
2
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Expected Legal Expected
Class Ratings Avg. Final Payment Day
Class Size Tranche Type Moody's/S&P Life Payment Window* Count
----- ---- ------------ ----------- ---- ------- ------- -----
To Call:
<S> <C> <C> <C> <C> <C> <C> <C>
Class 1A-1 $51,000,000 LIBOR Floater Aaa/AAA 3.52 10/25/28 1 - 115 (10/98 - 4/08) Act/360
Class 1A-2 $188,000,000 LIBOR Floater Aaa/AAA 3.46 10/25/28 1 - 115 (10/98 - 4/08) Act/360
Class 2A-1 $78,000,000 LIBOR Floater Aaa/AAA 2.76 10/25/28 1 - 115 (10/98 - 4/08) Act/360
Class 2A-2 $133,000,000 LIBOR Floater Aaa/AAA 2.76 10/25/28 1 - 115 (10/98 - 4/08) Act/360
To Maturity:
Class 1A-1 $51,000,000 LIBOR Floater Aaa/AAA 3.66 10/25/28 1 - 187 (10/98 - 4/14) Act/360
Class 1A-2 $188,000,000 LIBOR Floater Aaa/AAA 3.57 10/25/28 1 - 182 (10/98 - 11/13) Act/360
Class 2A-1 $78,000,000 LIBOR Floater Aaa/AAA 2.84 10/25/28 1 - 196 (10/98 - 1/15) Act/360
Class 2A-2 $133,000,000 LIBOR Floater Aaa/AAA 2.84 10/25/28 1 - 195 (10/98 - 12/14) Act/360
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Depositor: Superior Bank FSB
Series: AFC Mortgage Loan Asset Backed Certificates,
Series 1998-3
Servicer: Superior Bank FSB
Trustee: LaSalle National Bank
Underwriters: Merrill Lynch, Pierce, Fenner & Smith Incorporated
(Lead) & J.P. Morgan Securities Inc. (Co-Manager)
Bond Insurer: FGIC (Financial Guaranty Insurance Company)
Cut-Off Date: September 1, 1998
Exp. Pricing: On or about Sept. 18, 1998
Exp. Settlement: On or about Sept. 28, 1998
Distribution Date: The 25th day of each month (or if such 25th day is
not a business day, the next succeeding business
day), commencing on Oct. 26, 1998.
Class 1A Prepayment
Assumption: With respect to the Class 1A Certificates, a 100%
Prepayment Assumption assumes a CPR of 2% per
annum 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 and 26% CPR thereafter.
Class 2A Prepayment
Assumption: 28% CPR
SMMEA: The Class 1A-1 and Class 1A-2 Certificates will not be
SMMEA eligible. The Class 2A-1 and 2A-2 Certificates
will not be SMMEA eligible until such time as the
balance of the Sub-Pool III and Sub-Pool IV
Pre-Funding Accounts are reduced to zero.
ERISA: Subject to the conditions set forth in the
Prospectus Supplement, it is expected that the
Class 1A and 2A Certificates will generally be
ERISA eligible under the Prohibited Transaction
Exemptions granted to the Underwriters by the
Department of Labor. Prospective purchasers
should consult their counsel.
Tax Status: REMIC
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
3
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL:
Group 1 Mortgage Loans:
Sub-Pool I: Conventional, fixed-rate mortgage loans secured by first
liens on single family residential properties plus Sub-Pool
I pre-funding account. In addition, Sub-Pool I will include
"Periodic Payment Loans" (19.69% of Sub-Pool I before
pre-funding) and "Deferred Payment Loans" (12.06% of
Sub-Pool I before pre-funding). See below for further
description.
Sub-Pool II: Conventional, fixed-rate mortgage loans secured by first or
second liens on one- to four-familyresidential properties,
condominiums and manufactured homes ("One Family
Properties"), residential properties consisting of five or
more dwelling units ("Multifamily Properties"), commercial
properties and mixed residential and commercial structures
("Mixed Use Properties") plus Sub-Pool II pre-funding
account. In addition, Sub-Pool II will include "Periodic
Payment Loans" (12.33% of Sub-Pool II before pre-funding),
"Deferred Payment Loans" (6.49% of Sub-Pool II before
pre-funding) and "Temporary Buydown Loans" (0.80% of
Sub-Pool II before pre-funding). See below for further
description.
Group 2 Mortgage Loans:
Sub-Pool III: Conventional, adjustable rate mortgage loans secured by
first liens on One Family Properties indexed to 6 Month
LIBOR plus Sub-Pool III pre-funding account. In addition,
Sub-Pool III will include "Deferred Payment Loans" (3.41% of
Sub-Pool III before pre-funding). See below for further
description.
Sub-Pool IV: Conventional, adjustable rate mortgage loans secured by
first liens on One family Properties indexed to 6 Month
LIBOR plus Sub-Pool IV pre-funding account. In addition,
Sub-Pool IV will include "Deferred Payment Loans" (4.19% of
Sub-Pool IV before pre-funding) and "Temporary Buydown
Loans" (13.41% of Sub-Pool IV before pre-funding). See below
for further description.
CREDIT
ENHANCEMENT: Overcollateralization and Cross Collateralization of the
groups, plus 100% FGIC Guarantee of timely receipt of
interest on the Class A Certificates and ultimate receipt of
principal on the Class A Certificates.
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
4
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
INITIAL
OVERCOLLATERAL-
IZATION: Credit Enhancement with respect to the Class 1A-1, 1A-2,
2A-1 and 2A-2 Certificates will be provided in part by the
Initial Overcollateralization Amount for Sub-Pool I,
Sub-Pool II, Sub-Pool III, and Sub-Pool IV resulting from
the sum of each respective Original Group Principal Balance
and Original Group Pre-Funded Amount exceeding the initial
respective Certificate Principal Balance as of the Closing
Date.
CROSS-
COLLATERALIZATION: On any Remittance Date prior to the related Cross-Over Date
on which the Overcollateralization Amount for a Sub-Pool is
less than the Required Overcollateralization Amount for such
Sub-Pool, the Remaining Net Excess Spread for such Sub-Pool
plus the Available Transfer Cashflow, if any, and the Net
Excess Principal, if any, from the other Sub-Pools will be
used to make additional distributions of principal on the
related Class of Class A Certificates until such
Overcollateralization Amount equals the related Required
Overcollateralization Amount for such Sub-Pool.
PRE-FUNDING ACCOUNTS:
Original Sub-Pool I Pre-Funding Amount: $20,510,038 (approximate)
Original Sub-Pool II Pre-Funding Amount: $74,678,736 (approximate)
Original Sub-Pool III Pre-Funding Amount: $32,187,568 (approximate)
Original Sub-Pool IV Pre-Funding Amount: $51,896,297 (approximate)
The Original Sub-Pool I, Sub-Pool II, Sub-Pool III, and Sub-Pool IV 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 I, Sub-Pool II,
Sub-Pool III, and Sub-Pool IV Pre-Funding Accounts will be used to prepay
principal to the Class 1A-1, Class 1A-2, Class 2A-1 and Class 2A-2 Certificates,
respectively.
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
5
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
Class 1A Certificates:
Prior to the availability of the 5% clean-up call (as defined below):
On each Remittance Date, interest will accrue at the Class 1A-1 and Class 1A-2
Pass-Through Rates 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
and Class 1A-2 Certificates, respectively. All calculations of interest on the
Class 1A 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 1A-1
Pass Through Rate will be equal to the lesser of (1) One-Month LIBOR plus [ ]%
per annum and (2) the weighted average of the Group 1 Mortgage Rates minus the
sum of, with respect to Group 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 (the "Class 1A Available
Funds Cap Rate"). The Class 1A-2 Pass Through Rate will be equal to the lesser
of (1) One-Month LIBOR plus [ ]% per annum and (2) the weighted average of the
Group 1 Mortgage Rates minus the sum of, with respect to Group 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 (the "Class 1A Available Funds Cap Rate").
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-1 and Class 2A-2
Pass-Through Rate from the preceding Remittance Date (or from the Closing Date
in the case of the first Remittance Date) to and including the day prior to the
current Remittance Date on the outstanding principal balance of the Class 2A-1
and Class 2A-2 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-1 Pass
Through Rate will be equal to the least of (1) One-Month LIBOR plus [ ]% per
annum, (2) the weighted average of the Group 2 Mortgage Rates minus the sum of,
with respect to Group 2, (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 (the "Class 2A Available Funds
Cap Rate") and (3) the weighted average of the Group 2 Maximum Mortgage Rates
minus the sum of, with respect to Group 2, (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 (the "Class 2A
Cap Rate") . The Class 2A-2 Pass Through Rate will be equal to the least of (1)
One-Month LIBOR plus [ ]% per annum, (2) the weighted average of the Group 2
Mortgage Rates minus the sum of, with respect to Group 2, (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
(the "Class 2A Available Funds Cap Rate") and (3) the weighted average of the
Group 2 Maximum Mortgage Rates minus the sum of, with respect to Group 2, (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 (the "Class 2A Cap Rate") .
After the availability of the 5% cleanup call the Class A Pass-Through Rates
will increase approximately 40bps on and after the date on which the 5% clean-up
call becomes available but is not exercised, subject to the Class 1A and Class
2A Available Funds Cap Rates.
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
6
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
CLASS 2A INTEREST SHORTFALL AMOUNT:
If on any Remittance Date the Class 2A-1 or Class 2A-2 Pass Through Rate is
based on the Class 2A Available Funds Cap Rate, the excess of (i) the amount of
interest such Class 2A Certificates would be entitled to receive on such
Remittance Date had interest been calculated based on LIBOR plus the margin (but
in no event exceeding the Class 2A Cap Rate) over (ii) the amount of interest
such Class will receive on such Remittance Date at the Available Funds Cap Rate,
together with the unpaid portion of any such excess from prior Remittance Dates
(and interest accrued thereon at the then applicable Class 2A-1 or Class 2A-2
Pass-Through Rate, without giving effect to the Available Funds Cap Rate, but in
no event exceeding the Class 2A Cap Rate) is referred to herein as the "Class 2A
Interest Shortfall Amount". Any Class 2A Interest Shortfall Amount will be paid
on future Remittance Dates on a subordinated basis to the extent of funds
available in the Certificate Account. No Class 2A Interest Shortfall Amount will
be paid to the Class 2A-1 or Class 2A-2 Certificateholder if the balance of each
Certificate is reduced to zero. The ratings of the Class 2A Certificates do not
address the likelihood of the payment of any Class 2A Interest Shortfall Amounts
and Class 2A Interest Shortfall Amounts will not be covered by Insured Payments
from FGIC.
PRINCIPAL DISTRIBUTIONS:
The Group 1 Mortgage Loans will consist of the Sub-Pool I and Sub-Pool II
Mortgage Loans. All principal relating to the Sub-Pool I Mortgage Loans and
Sub-Pool II Mortgage Loans will be paid to the Class 1A-1 Certificates and Class
1A-2 Certificates, respectively, together with the aggregate Net Excess Spread
from the Sub-Pool I and Sub-Pool II Mortgage Loans, which will be paid to the
Class 1A-1 and Class 1A-2 Certificates in the same proportion as the Sub-Pool I
and Sub-Pool II Principal Distribution Amounts to the extent necessary to reach
the required overcollateralization.
The Group 2 Mortgage Loans will consist of the Sub-Pool III and Sub-Pool IV
Mortgage Loans. All principal relating to the Sub-Pool III Mortgage Loans and
Sub-Pool IV Mortgage Loans will be paid to the Class 2A-1 Certificates and Class
2A-2 Certificates, respectively, together with the aggregate Net Excess Spread
from the Sub-Pool III and Sub-Pool IV Mortgage Loans, which will be paid to the
Class 2A-1 and Class 2A-2 Certificates in the same proportion as the Sub-Pool
III and Sub-Pool IV Principal Distribution Amounts to the extent necessary to
reach the required overcollateralization.
OPTIONAL TERMINATION/5% CLEANUP CALL:
On any Remittance Date on which the outstanding aggregate principal balance of
the Mortgage Loans in the Trust Fund is less than 5% of the sum of the Original
Pool Principal Balance and the Original Pre-Funded Amounts.
COLLATERAL OVERVIEW (INITIAL MORTGAGE LOANS):
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 5.17% of Sub-Pool II and 6.11% of Sub-Pool IV before pre-funding.
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 19.69% of Sub-Pool I and 12.33% of Sub-Pool II before
pre-funding. In addition, some of these loans will allow for the mortgagor to
use a limited number of payment vouchers to defer principal portions of the
corresponding Periodic Payment and pay only the interest portion due on such
payment dates. Any principal deferred in such a manner will be due in full on
the maturity date of the related Periodic Payment Loan.
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
7
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
Deferred Payment Loans
Mortgage Loans which permit the Mortgagor to defer the first two or first three
payments due under the related Note. Such election must be made at the time of
origination. Under certain limited circumstances, these deferred payments may be
forgiven by the Mortgage on the maturity date of the loan. These loans will
constitute 12.06% of Sub-Pool I and 6.49% of Sub-Pool II, 3.41% of Sub-Pool III,
and 4.19% of Sub-Pool IV before pre-funding.
Temporary Buydown Loans
Approximately 0.80% of the Sub-Pool II Initial Mortgage Loans and 13.41% of the
Sub-Pool IV Initial Mortgage Loans (before pre-funding), by Original Sub-Pool IV
Principal Balance, provide that the Mortgage Rate stated therein be reduced by
2% during the first twelve month period of the loans, and reduced by 1% during
the second twelve month period of the loan, after which such Mortgage Rate will
apply. For example, a loan with a stated Mortgage Rate of 10% will actually have
a Mortgage Rate of 8% during the first 12 month period, 9% during the second 12
month period and will return to 10% for the remainder of the loan. All modeling
assumptions herein use the actual reduced Mortgage Rates for the first 24
months, not the stated Mortgage Rate, for all such Temporary Buydown Loans.
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
8
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AVERAGE LIFE SENSITIVITY ANALYSIS:
(assuming 0 bps losses):
Assumes a 5% Clean-Up Call
Scenario 1 2 3 4 5
- - - - -
WAL/Window WAL/Window WAL/Window WAL/Window WAL/Window
Class (Months) (Months) (Months) (Months) (Months)
<S> <C> <C> <C> <C> <C>
1A-1 15.58 (1 - 323) 5.94 (1 - 179) 3.52 (1 - 115) 2.54 (1 - 82) 2.00 (1 - 60)
1A-2 13.40 (1 - 323) 5.73 (1 - 179) 3.46 (1 - 115) 2.51 (1 - 82) 1.98 (1 - 60)
Assumes NO 5% Clean-Up Call (to Maturity)
Scenario 1 2 3 4 5
- - - - -
WAL/Window WAL/Window WAL/Window WAL/Window WAL/Window
Class (Months) (Months) (Months) (Months) (Months)
1A-1 15.76 (1 - 352) 6.19 (1 - 304) 3.66 (1 - 187) 2.61 (1 - 137) 2.05 (1 - 99)
1A-2 13.46 (1 - 349) 5.86 (1 - 294) 3.57 (1 - 182) 2.57 (1 - 135) 2.02 (1 - 97)
Assumes a 5% Clean-Up Call
Scenario 1 2 3 4 5
- - - - -
WAL/Window WAL/Window WAL/Window WAL/Window WAL/Window
Class (Months) (Months) (Months) (Months) (Months)
2A-1 7.72 (1 - 323) 4.00 (1 - 179) 2.76 (1 - 115) 2.11 (1 - 82) 1.54 (1 - 60)
2A-2 7.72 (1 - 323) 4.00 (1 - 179) 2.76 (1 - 115) 2.11 (1 - 82) 1.54 (1 - 60)
Assumes NO 5% Clean-Up Call (to Maturity)
Scenario 1 2 3 4 5
- - - - -
WAL/Window WAL/Window WAL/Window WAL/Window WAL/Window
Class (Months) (Months) (Months) (Months) (Months)
2A-1 7.74 (1 - 350) 4.08 (1 - 271) 2.84 (1 - 196) 2.20 (1 - 152) 1.60 (1 - 111)
2A-2 7.73 (1 - 349) 4.08 (1 - 270) 2.84 (1 - 195) 2.19 (1 - 152) 1.60 (1 - 110)
Scenario 1 2 3 4 5
- - - - -
Class 1A Prepayment Assumption 0% 50% 100% 150% 200%
Class 2A CPR 10% 20% 28% 35% 45%
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
9
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
CLASS 2A EXCESS SPREAD & AVAILABLE FUNDS CAP RATE ANALYSIS (UNDER PRICING
SCENARIO):
Period Payment Date Available Funds Cap Rate(1) Excess Spread
Available(1)
------ ------------ --------------------------- ----------------
1 10/25/98 9.32% 3.51%
2 11/25/98 9.32 3.51
3 12/25/98 9.32 3.51
4 1/25/99 9.32 3.51
5 2/25/99 9.34 3.52
6 3/25/99 9.36 3.54
7 4/25/99 9.36 3.54
8 5/25/99 9.37 3.55
9 6/25/99 9.38 3.56
10 7/25/99 9.38 3.56
11 8/25/99 9.39 3.57
12 9/25/99 9.46 3.64
13 10/25/99 9.46 3.64
14 11/25/99 9.49 3.67
15 12/25/99 9.52 3.70
16 1/25/00 9.52 3.70
17 2/25/00 9.52 3.70
18 3/25/00 9.53 3.71
19 4/25/00 9.53 3.71
20 5/25/00 9.58 3.76
21 6/25/00 9.60 3.79
22 7/25/00 9.60 3.79
23 8/25/00 9.79 3.97
24 9/25/00 10.30 4.49
25 10/25/00 10.62 4.80
26 11/25/00 10.98 5.16
27 12/25/00 11.34 5.53
28 1/25/01 11.34 5.53
29 2/25/01 11.34 5.53
30 3/25/01 11.39 5.58
- ----------
(1) Assumes 1 Month LIBOR = 5.58203%, 6 Month LIBOR = 5.40625%, Class 2A-1 Net
Margin = 0.23%, Class 2A-2 Net Margin = 0.24%, Expenses = 0.78%.
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
10
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INITIAL MORTGAGE LOAN CHARACTERISTICS
As of 9/1/98 (the "Cut-off Date")
Group 1 (Sub-Pool I and Sub-Pool II) (Fixed Rate):
<S> <C>
Current Home Equity Loan Principal Balance: $146,225,367
Average Current Home Equity Loan Principal Balance: $62,812 (range: $9,000 - $900,000)
Original Home Equity Loan Principal Balance: $146,394,423
Average Original Home Equity Loan Principal Balance: $62,884 (range: $9,000 - $900,000)
Properties secured by 1st/2nd Liens: 77.53% / 22.47%
Weighted Average Coupon: 10.476% (range: 7.125% - 15.500%)
Weighted Average CLTV: 77.01%
Weighted Average Rem. Term: 243 mos.
Weighted Average Original Term: 244 mos.
Geographic Distribution: 42 States and D.C.
States w/ >5% Concentrations: NY - 19.00%, FL - 14.39%, PA - 8.80%
MI - 6.21%, CA - 3.60%
Product Type-
Balloons (30's due in 15): 25.42%
Periodic Payment Loans: 13.89%
Deferred Payment Loans: 7.67%
Temporary Buydown Loans: 0.63%
Occupancy-
Owner Occupied: 89.01%
Non-Owner Occupied: 10.99%
Property Type-
Single Family: 75.69%
2-4 Family: 9.86%
Manufactured Home Loans: 4.08%
Multi-Family: 3.68%
Mixed Use: 2.80%
Condominium: 1.83%
Commercial: 1.11%
PUD: 0.95%
Loan Purpose-
Purchase: 20.10%
Refinance: 6.23%
Cashout: 73.67%
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
11
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INITIAL MORTGAGE LOAN CHARACTERISTICS (continued)
As of 9/1/98 (the "Cut-off Date")
Sub-Pool I (Fixed Rate):
<S> <C>
Current Home Equity Loan Principal Balance: $31,005,114
Average Current Home Equity Loan Principal Balance: $67,994 (range: $9,945 - $220,500)
Original Home Equity Loan Principal Balance: $31,048,897
Average Original Home Equity Loan Principal Balance: $68,090 (range: $10,000 - $220,500)
Properties secured by 1st/2nd Liens: 100% / 0%
Weighted Average Coupon: 10.395% (range: 8.150% - 14.500%)
Weighted Average CLTV: 77.37%
Weighted Average Rem. Term: 267 mos.
Weighted Average Original Term: 268 mos.
Geographic Distribution: 32 states and D.C.
States w/ >5% Concentrations: FL - 17.95%, PA - 12.67%
NY - 12.05%, MI - 8.63%
Product Type-
Balloons (30's due in 15): 22.59%
Periodic Payment Loans: 19.69%
Deferred Payment Loans: 12.06%
Occupancy-
Owner Occupied: 94.23%
Non-Owner Occupied: 5.77%
Property Type-
Single Family: 100.00%
Loan Purpose-
Purchase: 26.51%
Refinance: 5.64%
Cashout: 67.85%
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
12
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INITIAL MORTGAGE LOAN CHARACTERISTICS (continued)
As of 9/1/98 (the "Cut-off Date")
Sub-Pool II (Fixed Rate):
<S> <C>
Current Home Equity Loan Principal Balance: $115,220,253
Average Current Home Equity Loan Principal Balance: $61,549 (range: $9,000 - $900,000)
Original Home Equity Loan Principal Balance: $115,345,526
Average Original Home Equity Loan Principal Balance: $61,616 (range: $9,000 - $900,000)
Properties secured by 1st/2nd Liens: 71.48% / 28.52%
Weighted Average Coupon: 10.497% (range: 7.125% - 15.500%)
Weighted Average CLTV: 76.92%
Weighted Average Rem. Term: 236 mos.
Weighted Average Original Term: 237 mos.
Geographic Distribution: 42 states and D.C.
States w/ >5% Concentrations: NY - 20.87%, FL - 13.43%, PA - 7.75%,
MI - 5.57%, CT 5.26%
Product Type-
Balloons (30's due in 15): 26.18%
Periodic Payment Loans: 12.33%
Deferred Payment Loans: 6.49%
Temporary Buydown Loans: 0.80%
Occupancy-
Owner Occupied: 87.61%
Non-Owner Occupied: 12.39%
Property Type-
Single Family: 69.15%
2-4 Family: 12.51%
Manufactured Home Loans: 5.17%
Multi Family: 4.67%
Mixed Use: 3.56%
Condominium: 2.32%
Commercial: 1.41%
PUD: 1.21%
Loan Purpose-
Purchase: 18.38%
Refinance: 6.39%
Cashout: 75.24%
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
13
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INITIAL MORTGAGE LOAN CHARACTERISTICS (continued)
As of 9/1/98 (the "Cut-off Date")
<S> <C>
Group 2 (Sub-Pool III and Sub-Pool IV) (Adjustable Rate):
Current Home Equity Loan Principal Balance: $130,129,333
Average Current Home Equity Loan Principal Balance: $109,629 (range: $13,000 - $768,208)
Original Home Equity Loan Principal Balance: $130,174,511
Average Original Home Equity Loan Principal Balance: $109,667 (range: $13,000 - $770,000)
Product Type-
2/28: 94.52%
6 Month LIBOR: 5.48%
Temporary Buydown Loans: 8.56%
Deferred Payment Loans: 3.91%
Weighted Average Coupon: 10.104% (range: 5.250% - 15.500%)
Weighted Average Lifetime Cap: 16.275% (range: 13.125% - 21.500%)
Weighted Average Lifetime Floor: 9.330% (range: 6.125% - 14.500%)
Weighted Average Gross Margin: 6.802% (range: 3.750% - 10.750%)
Weighted Average Months to Roll: 22 (range: 1 - 24)
Weighted Average Initial Periodic Cap: 2.031% (range: 1.000% - 3.000%)
Weighted Average Periodic Cap: 1.000% (range: all 1.000%)
Weighted Average Rem. Term: 357 mos.
Weighted Average Original Term: 358 mos.
Properties secured by 1st Liens: 100%
Weighted Average LTV: 81.27%
Geographic Distribution: 40 states and D.C.
States w/ >5% Concentrations: NY - 13.39%, PA - 12.72%, CO - 9.99%,
UT - 9.71%, NJ - 7.62%, MI - 6.72%
Occupancy-
Owner Occupied: 96.33%
Non-Owner Occupied: 3.67%
Property Type-
Single Family: 80.89%
2-4 Family: 9.13%
Manufactured Home Loans: 3.90%
PUD: 3.19%
Condominium: 2.89%
Loan Purpose-
Purchase: 56.87%
Refinance: 6.64%
Cashout: 36.49%
2/28
Weighted Average Coupon: 10.096% (range: 5.250% - 15.500%)
Weighted Average Lifetime Cap: 16.277% (range: 13.125% - 21.500%)
Weighted Average Lifetime Floor: 9.277% (range: 6.125% - 14.500%)
Weighted Average Gross Margin: 6.780% (range: 3.750% - 10.750%)
6 Month LIBOR
Weighted Average Coupon: 10.241% (range: 8.250% - 13.125%)
Weighted Average Lifetime Cap: 16.234% (range: 14.250% - 19.125%)
Weighted Average Lifetime Floor: 10.234% (range: 8.250% - 13.125%)
Weighted Average Gross Margin: 7.174% (range: 5.000% - 9.500%)
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
14
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INITIAL MORTGAGE LOAN CHARACTERISTICS (continued)
As of 9/1/98 (the "Cut-off Date")
<S> <C>
Sub-Pool III (Adjustable Rate):
Current Home Equity Loan Principal Balance: $47,000,249
Average Current Home Equity Loan Principal Balance: $96,312 (range: $14,278 - $221,000)
Original Home Equity Loan Principal Balance: $47,016,023
Average Original Home Equity Loan Principal Balance: $96,344 (range: $14,300 - $221,000)
Product Type-
2/28: 94.76%
6 Month LIBOR: 5.24%
Deferred Payment Loans: 3.41%
Weighted Average Coupon: 10.075% (range: 7.125% - 12.875%)
Weighted Average Lifetime Cap: 16.075% (range: 13.125% - 18.875%)
Weighted Average Lifetime Floor: 9.127% (range: 6.125% - 11.875%)
Weighted Average Gross Margin: 6.623% (range 4.250% - 9.500%)
Weighted Average Months to Roll: 22 (range: 2 - 24)
Weighted Average Initial Periodic Cap: 1.948% (range: 1.00% - 2.00%)
Weighted Average Periodic Cap: 1.00% (range: all 1.00%)
Weighted Average Rem. Term: 359 mos.
Weighted Average Original Term: 360 mos.
Properties secured by 1st Liens: 100%
Weighted Average LTV: 81.41%
Geographic Distribution: 33 States and D.C.
States w/ >5% Concentrations: PA - 18.88%, CO - 11.67%, NY - 10.06%,
MI - 9.39%, NJ - 7.76%, FL - 6.18%, IL - 5.21%
Occupancy-
Owner Occupied: 96.46%
Non-Owner Occupied: 3.54%
Property Type-
Single Family: 100%
Loan Purpose-
Purchase: 55.42%
Refinance: 6.61%
Cashout: 37.97%
2/28
Weighted Average Coupon: 10.080% (range: 7.125% - 12.875%)
Weighted Average Lifetime Cap: 16.080% (range: 13.125% - 18.875%)
Weighted Average Lifetime Floor: 9.080% (range: 6.125% - 11.875%)
Weighted Average Gross Margin: 6.608% (range: 4.250% - 9.500%)
6 Month LIBOR
Weighted Average Coupon: 9.986% (range: 8.500% - 11.750%)
Weighted Average Lifetime Cap: 15.986% (range: 14.500% - 17.750%)
Weighted Average Lifetime Floor: 9.986% (range: 8.500% - 11.750%)
Weighted Average Gross Margin: 6.896% (range: 5.500% - 8.500%)
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
15
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INITIAL MORTGAGE LOAN CHARACTERISTICS (continued)
As of 9/1/98 (the "Cut-off Date")
<S> <C>
Sub-Pool IV (Adjustable Rate):
Current Home Equity Loan Principal Balance: $83,129,084
Average Current Home Equity Loan Principal Balance: $118,926 (range: $13,000 - $768,208)
Original Home Equity Loan Principal Balance: $83,158,488
Average Original Home Equity Loan Principal Balance: $118,968 (range: $13,000 - $770,000)
Product Type-
2/28: 94.38%
6 Month LIBOR: 5.62%
Deferred Payment Loans: 4.19%
Temporary Buydown Loans: 13.41%
Weighted Average Coupon: 10.121% (range: 5.250% - 15.500%)
Weighted Average Lifetime Cap: 16.388% (range: 13.125% - 21.500%)
Weighted Average Lifetime Floor: 9.444% (range: 6.125% - 14.500%)
Weighted Average Gross Margin: 6.903% (range: 3.750% - 10.750%)
Weighted Average Months to Roll: 22 (range: 1 - 24)
Weighted Average Initial Periodic Cap: 2.078% (range: 1.00% - 3.00%)
Weighted Average Periodic Cap: 1.00% (range: all 1.00%)
Weighted Average Rem. Term: 356 mos.
Weighted Average Original Term: 358 mos.
Properties secured by 1st Liens: 100%
Weighted Average LTV: 81.20%
Geographic Distribution: 39 States and D.C.
States w/ >5% Concentrations: NY - 15.27%, UT - 13.48%, PA - 9.24%,
CO - 9.04%, NJ - 7.54%, MI - 5.21%
Occupancy-
Owner Occupied: 96.25%
Non-Owner Occupied: 3.75%
Property Type-
Single Family: 70.09%
2-4 Family: 14.29%
Manufactured Home Loans: 6.11%
PUD: 4.99%
Condominium: 4.53%
Loan Purpose-
Purchase: 57.70%
Refinance: 6.65%
Cashout: 35.65%
2/28
Weighted Average Coupon: 10.106% (range: 5.250% - 15.500%)
Weighted Average Lifetime Cap: 16.390% (range: 13.125% - 21.500%)
Weighted Average Lifetime Floor: 9.390% (range: 6.125% - 14.500%)
Weighted Average Gross Margin: 6.878% (range: 3.750% - 10.750%)
6 Month LIBOR
Weighted Average Coupon: 10.376% (range: 8.250% - 13.125%)
Weighted Average Lifetime Cap: 16.364% (range: 14.250% - 19.125%)
Weighted Average Lifetime Floor: 10.364% (range: 8.250% - 13.125%)
Weighted Average Gross Margin: 7.321% (range: 5.000% - 9.500%)
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
16
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS
Group 1
<TABLE>
<CAPTION>
Range of Principal Balances Percent by Number of
as of the Cut-off Date ($) Principal Balance Principal Balance Mortgage Loans
- -------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
0.01- 10,000.00 $147,781 0.10% 15
10,000.01- 20,000.00 4,399,334 3.01 273
20,000.01- 30,000.00 8,884,515 6.08 350
30,000.01- 40,000.00 11,114,418 7.60 316
40,000.01- 50,000.00 12,325,284 8.43 272
50,000.01- 60,000.00 13,130,047 8.98 238
60,000.01- 70,000.00 11,228,351 7.68 172
70,000.01- 80,000.00 11,446,499 7.83 153
80,000.01- 90,000.00 9,335,755 6.38 110
90,000.01- 100,000.00 7,192,732 4.92 75
100,000.01- 110,000.00 7,294,093 4.99 69
110,000.01- 120,000.00 6,685,706 4.57 58
120,000.01- 130,000.00 5,002,843 3.42 40
130,000.01- 140,000.00 3,365,387 2.30 25
140,000.01- 150,000.00 3,213,132 2.20 22
150,000.01- 160,000.00 3,724,342 2.55 24
160,000.01- 170,000.00 3,159,234 2.16 19
170,000.01- 180,000.00 2,476,546 1.69 14
180,000.01- 190,000.00 1,494,093 1.02 8
190,000.01- 200,000.00 2,152,774 1.47 11
200,000.01- 250,000.00 7,271,685 4.97 33
250,000.01- 300,000.00 4,304,648 2.94 16
300,000.01- 350,000.00 1,273,954 0.87 4
350,000.01- 400,000.00 789,500 0.54 2
400,000.01- 450,000.00 1,231,214 0.84 3
450,000.01- 500,000.00 1,426,500 0.98 3
550,000.01- 600,000.00 595,000 0.41 1
650,000.01- 700,000.00 660,000 0.45 1
850,000.01- 900,000.00 900,000 0.62 1
------------ ------ ------------
Total $146,225,367 100.00% 2,328
============ ====== ============
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
17
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 1
<TABLE>
<CAPTION>
Percent by Number of
Geographic Distribution Principal Balance Principal Balance Mortgage Loans
----------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
Alabama $516,773 0.35% 10
Arizona 1,977,198 1.35 50
Arkansas 262,567 0.18 5
California 5,259,475 3.60 63
Colorado 3,465,165 2.37 60
Connecticut 6,732,575 4.60 74
Delaware 597,816 0.41 10
District of Columbia 974,212 0.67 9
Florida 21,044,511 14.39 456
Georgia 2,976,375 2.04 48
Idaho 363,465 0.25 9
Illinois 4,677,694 3.20 55
Indiana 2,404,204 1.64 53
Kansas 62,200 0.04 3
Kentucky 235,563 0.16 3
Louisiana 163,500 0.11 2
Maryland 5,050,951 3.45 58
Massachusetts 2,045,165 1.40 29
Michigan 9,087,812 6.21 166
Minnesota 895,012 0.61 18
Mississippi 196,952 0.13 5
Missouri 80,948 0.06 3
Nevada 34,907 0.02 2
New Hampshire 2,205,845 1.51 17
New Jersey 6,454,933 4.41 77
New Mexico 288,221 0.20 7
New York 27,778,392 19.00 282
North Carolina 2,973,357 2.03 48
North Dakota 119,380 0.08 3
Ohio 4,664,520 3.19 81
Oklahoma 251,891 0.17 8
Oregon 2,715,218 1.86 47
Pennsylvania 12,861,232 8.80 251
Rhode Island 1,058,940 0.72 13
South Carolina 2,388,532 1.63 51
South Dakota 35,350 0.02 2
Tennessee 1,995,195 1.36 37
Texas 2,098,951 1.44 37
Utah 2,498,316 1.71 55
Virginia 1,635,618 1.12 30
Washington 3,189,628 2.18 57
West Virginia 106,225 0.07 2
Wisconsin 1,800,586 1.23 32
------------ ------ ------------
Total $146,225,367 100.00% 2,328
===== ============ ====== ============
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
18
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 1
<TABLE>
<CAPTION>
Number of
Percent by Mortgage
Original Combined Loan-to-Value (%) Principal Balance Principal Balance Loans
- ----------------------------------- ----------------- ----------------- ---------
<S> <C> <C> <C>
10.01-15.00 $9,948 0.01% 1
15.01-20.00 248,413 0.17 8
20.01-25.00 173,963 0.12 8
25.01-30.00 175,445 0.12 7
30.01-35.00 469,886 0.32 14
35.01-40.00 1,403,819 0.96 26
40.01-45.00 1,776,931 1.22 27
45.01-50.00 2,384,068 1.63 43
50.01-55.00 2,656,247 1.82 44
55.01-60.00 4,027,801 2.75 58
60.01-65.00 7,419,169 5.07 109
65.01-70.00 16,375,287 11.20 203
70.01-75.00 15,837,255 10.83 248
75.01-80.00 33,705,080 23.05 553
80.01-85.00 29,586,803 20.23 518
85.01-90.00 29,975,255 20.50 461
------------ ------ ------------
Total $146,225,367 100.00% 2,328
===== ============ ====== ============
</TABLE>
At origination (a) no Group 1 Initial Mortgage Loan had a Combined Loan-to-Value
("CLTV") exceeding 90.00%, (b) no Sub-Pool I Initial Mortgage Loan had a CLTV
exceeding 90.00% and (c) no Sub-Pool II Initial Mortgage Loan had a CLTV
exceeding 90.00%.
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
19
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 1
<TABLE>
<CAPTION>
Percent by Number of
Mortgage Rates (%) Principal Balance Principal Balance Mortgage Loans
- ------------------ ----------------- ----------------- --------------
<S> <C> <C> <C>
7.000- 7.249 $418,014 0.29% 5
7.250- 7.499 1,615,342 1.10 15
7.500- 7.749 1,321,509 0.90 20
7.750- 7.999 4,851,663 3.32 53
8.000- 8.249 3,289,462 2.25 40
8.250- 8.499 3,882,616 2.66 50
8.500- 8.749 6,826,871 4.67 88
8.750- 8.999 6,268,210 4.29 79
9.000- 9.249 3,266,938 2.23 56
9.250- 9.499 7,258,849 4.96 106
9.500- 9.749 9,123,202 6.24 134
9.750- 9.999 9,685,191 6.62 153
10.000- 10.249 6,463,254 4.42 117
10.250- 10.499 8,128,510 5.56 145
10.500- 10.749 10,047,842 6.87 149
10.750- 10.999 9,798,921 6.70 164
11.000- 11.249 7,078,001 4.84 121
11.250- 11.499 7,696,985 5.26 125
11.500- 11.749 7,816,655 5.35 132
11.750- 11.999 6,192,697 4.24 106
12.000- 12.249 5,558,258 3.80 100
12.250- 12.499 4,652,171 3.18 84
12.500- 12.749 3,969,136 2.71 82
12.750- 12.999 3,542,840 2.42 67
13.000- 13.249 1,762,783 1.21 42
13.250- 13.499 1,829,609 1.25 28
13.500- 13.749 964,288 0.66 20
13.750- 13.999 619,148 0.42 13
14.000- 14.249 521,461 0.36 11
14.250- 14.499 1,135,494 0.78 11
14.500- 14.749 271,861 0.19 9
15.250- 15.499 288,000 0.20 2
15.500- 15.749 79,587 0.05 1
------------ ------ ------------
Total $146,225,367 100.00% 2,328
============ ====== ============
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
20
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 1
<TABLE>
<CAPTION>
Percent by Number of
Principal Mortgage
Remaining Months to Principal Balance Loans
- ------------------- --------- ------- -----
<S> <C> <C> <C>
48.01- 60.00 $290,074 0.20% 11
60.01- 72.00 19,526 0.01 1
72.01- 84.00 208,758 0.14 5
84.01- 96.00 484,571 0.33 11
96.01- 108.00 275,912 0.19 7
108.01- 120.00 4,036,949 2.76 107
120.01- 132.00 667,418 0.46 16
132.01- 144.00 290,384 0.20 7
144.01- 156.00 355,739 0.24 8
156.01- 168.00 311,767 0.21 6
168.01- 180.00 65,271,380 44.64 1,131
180.01- 192.00 814,210 0.56 17
192.01- 204.00 63,290 0.04 2
204.01- 216.00 333,794 0.23 4
216.01- 228.00 924,800 0.63 15
228.01- 240.00 23,501,027 16.07 389
240.01- 252.00 667,923 0.46 12
264.01- 276.00 89,970 0.06 1
276.01- 288.00 421,311 0.29 6
288.01- 300.00 4,071,193 2.78 46
300.01- 312.00 384,576 0.26 6
312.01- 324.00 16,587 0.01 1
352.01- 353.00 311,046 0.21 2
354.01- 355.00 419,285 0.29 4
355.01- 356.00 1,045,626 0.72 8
356.01- 357.00 1,666,222 1.14 17
357.01- 358.00 2,545,111 1.74 28
358.01- 359.00 16,395,070 11.21 210
359.01- 360.00 19,984,734 13.67 245
360.01- 361.00 357,113 0.24 5
------------ ------ ------------
Total $146,225,367 100.00% 2,328
============ ====== ============
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
21
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 1
<TABLE>
<CAPTION>
Percent by Number of
Principal Mortgage
Underwriting Class Principal Balance Balance Loans
- ------------------ ----------------- ------- -----
<S> <C> <C> <C>
IIB $6,530,214 4.47% 137
AA 32,576,468 22.28 423
AAA 4,426,016 3.03 62
ANIV 21,264,103 14.54 318
I 45,748,396 31.29 717
II 13,388,733 9.16 266
III 4,494,765 3.07 76
IIISE 4,667,110 3.19 68
IV 12,140,093 8.30 241
V 989,468 0.68 20
------------ ------ ------------
Total $146,225,367 100.00% 2,328
============ ====== ============
</TABLE>
Group 1
Principal Percent by Number of
Property Types Balance Principal Mortgage Loans
- -------------- ------- --------- --------------
SINGLE FAMILY $110,678,956 75.69% 1,886
2-4 FAMILY 14,415,018 9.86 169
MANUFACTURED HOUSING 5,962,064 4.08 132
MULTI-FAMILY 5,375,129 3.68 34
MIXED USE 4,101,201 2.80 22
CONDO 2,671,925 1.83 50
COMMERCIAL 1,626,869 1.11 10
PUD 1,394,204 0.95 25
------------ ------ ------------
Total $146,225,367 100.00% 2,328
============ ====== ============
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
22
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 2
<TABLE>
<CAPTION>
Range of Principal Balances Percent by Number of
as of the Cut-off Date ($) Principal Balance Principal Balance Mortgage Loans
- -------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
10,000.01- 20,000.00 $116,128 0.09% 7
20,000.01- 30,000.00 1,147,516 0.88 44
30,000.01- 40,000.00 2,148,719 1.65 61
40,000.01- 50,000.00 3,936,210 3.02 86
50,000.01- 60,000.00 5,136,449 3.95 93
60,000.01- 70,000.00 7,148,348 5.49 109
70,000.01- 80,0,00.00 6,220,613 4.78 83
80,000.01- 90,000.00 7,356,633 5.65 86
90,000.01- 100,000.00 9,081,554 6.98 95
100,000.01- 110,000.00 7,052,058 5.42 67
110,000.01- 120,000.00 7,950,106 6.11 69
120,000.01- 130,000.00 7,272,713 5.59 58
130,000.01- 140,000.00 6,591,506 5.07 49
140,000.01- 150,000.00 6,714,218 5.16 46
150,000.01- 160,000.00 5,441,736 4.18 35
160,000.01- 170,000.00 4,467,449 3.43 27
170,000.01- 180,000.00 3,664,320 2.82 21
180,000.01- 190,000.00 4,060,320 3.12 22
190,000.01- 200,000.00 2,942,572 2.26 15
200,000.01- 250,000.00 14,814,570 11.38 67
250,000.01- 300,000.00 5,470,924 4.20 20
300,000.01- 350,000.00 2,639,067 2.03 8
350,000.01- 400,000.00 2,980,314 2.29 8
400,000.01- 450,000.00 835,600 0.64 2
450,000.01- 500,000.00 2,389,348 1.84 5
550,000.01- 600,000.00 1,782,134 1.37 3
750,000.01- 800,000.00 768,208 0.59 1
------------ ------ ------------
Total $130,129,333 100.00% 1,187
============ ====== ============
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
23
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 2
<TABLE>
<CAPTION>
Number of
Percent by Mortgage
Geographic Distribution Principal Balance Principal Balance Loans
- ----------------------- ----------------- ----------------- -----
<S> <C> <C> <C>
Alabama $220,579 0.17% 3
Arizona 4,264,585 3.28 38
Arkansas 588,677 0.45 1
California 814,413 0.63 5
Colorado 13,002,212 9.99 91
Connecticut 4,327,222 3.33 25
Delaware 422,939 0.33 5
District of Columbia 528,050 0.41 2
Florida 4,365,656 3.35 51
Georgia 1,442,852 1.11 16
Illinois 6,133,455 4.71 49
Indiana 2,637,728 2.03 45
Iowa 102,138 0.08 2
Kentucky 416,084 0.32 5
Louisiana 38,971 0.03 1
Maryland 2,901,664 2.23 36
Massachusetts 2,863,060 2.20 20
Michigan 8,744,632 6.72 89
Minnesota 446,861 0.34 5
Mississippi 94,200 0.07 2
Missouri 284,036 0.22 3
Nebraska 114,638 0.09 1
New Hampshire 66,955 0.05 1
New Jersey 9,916,473 7.62 80
New Mexico 537,255 0.41 7
New York 17,427,485 13.39 125
North Carolina 3,952,536 3.04 43
Ohio 3,760,331 2.89 49
Oklahoma 211,332 0.16 3
Oregon 749,725 0.58 5
Pennsylvania 16,552,063 12.72 192
Rhode Island 330,410 0.25 3
South Carolina 2,028,713 1.56 24
Tennessee 538,067 0.41 5
Texas 3,304,935 2.54 31
Utah 12,637,554 9.71 94
Virginia 1,436,324 1.10 15
Washington 1,518,550 1.17 9
West Virginia 54,500 0.04 1
Wisconsin 158,569 0.12 3
Wyoming 192,904 0.15 2
------------ ------ ------------
Total $130,129,333 100.00% 1,187
============ ====== ============
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
24
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 2
<TABLE>
<CAPTION>
Percent by Number of
Original Loan-to-Value (%) Principal Balance Principal Balance Mortgage Loans
- -------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
20.01- 25.00 $69,959 0.05% 1
25.01- 30.00 20,970 0.02 1
35.01- 40.00 219,829 0.17 4
40.01- 45.00 400,414 0.31 6
45.01- 50.00 879,674 0.68 13
50.01- 55.00 847,813 0.65 8
55.01- 60.00 1,392,714 1.07 12
60.01- 65.00 4,235,053 3.25 48
65.01- 70.00 6,319,729 4.86 55
70.01- 75.00 10,536,648 8.10 98
75.01- 80.00 34,196,002 26.28 321
80.01- 85.00 35,750,488 27.47 319
85.01- 90.00 35,260,042 27.10 301
------------ ------ -----------
Total $130,129,333 100.00% 1,187
============ ====== ===========
</TABLE>
At origination (a) no Group 2 Initial Mortgage Loan had a Loan-to-Value ("LTV")
exceeding 90.00%, (b) no Sub-Pool III Initial Mortgage Loan had an LTV exceeding
90.00% and (c) no Sub-Pool IV Initial Mortgage Loan had an LTV exceeding 90.00%.
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
25
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 2
<TABLE>
<CAPTION>
Percent by Number of
Mortgage Rates (%) Principal Balance Principal Balance Mortgage Loans
- ------------------ ----------------- ----------------- --------------
<S> <C> <C> <C>
5.250- 5.499 $146,200 0.11% 1
6.250- 6.499 343,031 0.26 3
6.750- 6.999 113,205 0.09 1
7.000- 7.249 802,031 0.62 7
7.250- 7.499 735,450 0.57 5
7.500- 7.749 1,967,947 1.51 17
7.750- 7.999 1,736,023 1.33 12
8.000- 8.249 2,168,982 1.67 20
8.250- 8.499 5,721,879 4.40 48
8.500- 8.749 5,783,926 4.44 48
8.750- 8.999 5,531,893 4.25 36
9.000- 9.249 6,659,404 5.12 57
9.250- 9.499 8,295,210 6.37 71
9.500- 9.749 11,726,887 9.01 112
9.750- 9.999 13,603,850 10.45 117
10.000- 10.249 6,386,401 4.91 55
10.250- 10.499 8,748,725 6.72 82
10.500- 10.749 8,710,715 6.69 87
10.750- 10.999 7,673,558 5.90 72
11.000- 11.249 6,137,615 4.72 54
11.250- 11.499 4,375,316 3.36 44
11.500- 11.749 5,317,065 4.09 53
11.750- 11.999 4,647,542 3.57 56
12.000- 12.249 3,356,131 2.58 32
12.250- 12.499 1,895,054 1.46 22
12.500- 12.749 2,060,202 1.58 18
12.750- 12.999 2,674,176 2.06 25
13.000- 13.249 1,259,236 0.97 16
13.250- 13.499 1,309,846 1.01 12
13.500- 13.749 217,850 0.17 3
15.500- 15.749 23,985 0.02 1
------------ ------ ------------
Total $130,129,333 100.00% 1,187
============ ====== ============
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
26
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 2
<TABLE>
<CAPTION>
Percent by Number of
Remaining Months to Maturity Principal Balance Principal Balance Mortgage Loans
- ---------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
169.00- 180.99 $288,777 0.22% 8
229.00- 240.99 936,053 0.72 15
289.00- 300.99 644,713 0.50 9
337.00- 348.99 481,603 0.37 4
349.00- 357.99 10,622,458 8.16 96
358.00- 358.99 25,077,432 19.27 235
359.00- 359.99 54,293,047 41.72 477
360.00- 360.99 37,785,251 29.04 343
------------ ------ ------------
Total $130,129,333 100.00% 1,187
============ ====== ============
</TABLE>
Group 2
<TABLE>
<CAPTION>
Month of Next Rate Adjustment Percent by Number of
for Six-Month LIBOR Loans Principal Balance Principal Balance Mortgage Loans
- ------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
September 1998 $171,495 0.13% 1
October 1998 97,605 0.08 1
November 1998 360,150 0.28 4
December 1998 784,330 0.60 6
January 1999 1,347,755 1.04 11
February 1999 2,507,494 1.93 18
March 1999 1,943,669 1.49 14
May 1999 116,475 0.09 1
July 1999 105,084 0.08 1
September 1999 183,240 0.14 1
January 2000 56,106 0.04 1
February 2000 112,264 0.09 2
March 2000 598,207 0.46 4
April 2000 1,893,023 1.45 13
May 2000 2,597,145 2.00 28
June 2000 3,695,483 2.84 34
July 2000 24,037,977 18.47 229
August 2000 52,728,162 40.52 473
September 2000 $36,793,670 28.27 345
------------ ------ ------------
Totals $130,129,333 100.00% 1,187
============ ====== ============
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
27
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 2
<TABLE>
<CAPTION>
Gross Margin for Percent by Number of
Six-Month LIBOR Loans Principal Balance Principal Balance Mortgage Loans
- --------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
3.750- 3.999 $251,284 0.19% 2
4.000- 4.249 183,240 0.14 1
4.250- 4.499 734,214 0.56 6
4.500- 4.749 202,366 0.16 2
4.750- 4.999 857,845 0.66 11
5.000- 5.249 6,800,826 5.23 59
5.250- 5.499 2,411,633 1.85 25
5.500- 5.749 5,594,082 4.30 48
5.750- 5.999 7,378,421 5.67 74
6.000- 6.249 7,852,180 6.03 69
6.250- 6.499 21,241,441 16.32 210
6.500- 6.749 9,531,272 7.32 79
6.750- 6.999 11,234,148 8.63 86
7.000- 7.249 11,091,891 8.52 99
7.250- 7.499 12,838,554 9.87 110
7.500- 7.749 5,202,397 4.00 52
7.750- 7.999 6,349,989 4.88 56
8.000- 8.249 7,183,808 5.52 76
8.250- 8.499 2,433,211 1.87 19
8.500- 8.749 2,811,055 2.16 27
8.750- 8.999 1,829,391 1.41 19
9.000- 9.249 3,101,876 2.38 28
9.250- 9.499 621,809 0.48 5
9.500- 9.749 2,061,116 1.58 21
9.750- 9.999 307,298 0.24 2
10.750- 10.999 23,985 0.02 1
------------ ------ ------------
Totals $130,129,333 100.00% 1,187
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
28
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 2
<TABLE>
<CAPTION>
Maximum Mortgage Rates Percent by Number of
for Six-Month LIBOR Loans Principal Balance Principal Balance Mortgage Loans
- ------------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
13.000- 13.249 $239,500 0.18% 2
13.250- 13.499 275,950 0.21 2
13.500- 13.749 799,869 0.61 7
13.750- 13.999 938,925 0.72 7
14.000- 14.249 1,767,460 1.36 17
14.250- 14.499 4,737,286 3.64 41
14.500- 14.749 4,518,727 3.47 40
14.750- 14.999 4,176,180 3.21 31
15.000- 15.249 5,920,618 4.55 51
15.250- 15.499 8,398,710 6.45 70
15.500- 15.749 12,894,964 9.91 122
15.750- 15.999 14,109,118 10.84 120
16.000- 16.249 6,431,982 4.94 56
16.250- 16.499 10,076,348 7.74 92
16.500- 16.749 9,975,914 7.67 95
16.750- 16.999 8,649,367 6.65 74
17.000- 17.249 7,491,572 5.76 66
17.250- 17.499 4,877,516 3.75 49
17.500- 17.749 5,317,065 4.09 53
17.750- 17.999 4,939,372 3.80 58
18.000- 18.249 3,659,430 2.81 33
18.250- 18.499 1,895,054 1.46 22
18.500- 18.749 2,060,202 1.58 18
18.750- 18.999 3,167,286 2.43 29
19.000- 19.249 1,259,236 0.97 16
19.250- 19.499 1,309,846 1.01 12
19.500- 19.749 217,850 0.17 3
21.500- 21.749 23,985 0.02 1
------------ ------ ------------
Totals $130,129,333 100.00% 1,187
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
29
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 2
<TABLE>
<CAPTION>
Minimum Mortgage Rates for Percent by Number of
Six-Month LIBOR Loans Principal Balance Principal Balance Mortgage Loans
- --------------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
6.000- 6.249 $239,500 0.18% 2
6.250- 6.499 275,950 0.21 2
6.500- 6.749 799,869 0.61 7
6.750- 6.999 938,925 0.72 7
7.000- 7.249 1,767,460 1.36 17
7.250- 7.499 4,691,286 3.61 40
7.500- 7.749 4,349,733 3.34 38
7.750- 7.999 4,053,139 3.11 30
8.000- 8.249 5,427,317 4.17 48
8.250- 8.499 7,733,714 5.94 65
8.500- 8.749 12,314,336 9.46 119
8.750- 8.999 12,994,444 9.99 115
9.000- 9.249 6,560,720 5.04 56
9.250- 9.499 10,367,991 7.97 95
9.500- 9.749 10,268,035 7.89 95
9.750- 9.999 9,158,026 7.04 76
10.000- 10.249 7,217,821 5.55 63
10.250- 10.499 5,296,869 4.07 52
10.500- 10.749 5,543,159 4.26 56
10.750- 10.999 5,319,580 4.09 58
11.000- 11.249 4,208,222 3.23 38
11.250- 11.499 1,895,054 1.46 22
11.500- 11.749 2,135,649 1.64 19
11.750- 11.999 3,516,134 2.70 33
12.000- 12.249 1,177,265 0.90 16
12.250- 12.499 1,309,846 1.01 12
12.500- 12.749 373,810 0.29 4
13.000- 13.249 171,495 0.13 1
14.500- 14.749 23,985 0.02 1
------------ ------ ------------
Totals $130,129,333 100.00% 1,187
============ ====== ============
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
30
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
Group 2
<TABLE>
<CAPTION>
Percent by Number of
Underwriting Class Principal Balance Principal Balance Mortgage Loans
- ------------------ ----------------- ----------------- --------------
<S> <C> <C> <C>
IIB $9,076,175 6.97% 104
AA 7,811,623 6.00 77
ANIV 21,719,706 16.69 162
I 43,642,059 33.54 386
II 14,475,388 11.12 150
III 9,213,588 7.08 82
IV 18,157,432 13.95 177
SE 3,851,787 2.96 24
V 2,181,575 1.68 25
------------ ------ ------------
Total $130,129,333 100.00% 1,187
============ ====== ============
</TABLE>
Group 2
<TABLE>
<CAPTION>
Percent by Number of
Property Type Principal Balance Principal Balance Mortgage Loans
- ------------- ----------------- ----------------- --------------
<S> <C> <C> <C>
SINGLE FAMILY $105,262,531 80.89% 971
2-4 FAMILY 11,875,780 9.13 92
MANUFACTURED HOUSING 5,077,830 3.90 67
PUD 4,148,268 3.19 25
CONDO 3,764,923 2.89 32
------------ ------ ------------
Total $130,129,333 100.00% 1,187
============ ====== ============
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
31
<PAGE>
[LOGO] COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
Merrill Lynch ASSET-BACKED CERTIFICATES, Series 1998-3
- --------------------------------------------------------------------------------
FOR ADDITIONAL INFORMATION PLEASE CALL:
Asset Backed Securities Group
Rob DiOrio (212) 449-1646
Marc Rosenthal (212) 449-8721
Ken Mulford (212) 449-0752
Demetrios Tsipras (212) 449-9486
MBS Trading
(New York)
Vince Mora (212) 449-5320
Dan Pace (212) 449-5320
Scott Soltas (212) 449-3659
(London)
Ashley Kibblewhite 011-44-171-867-3032
Anthony Everill 011-44-171-867-3032
Asset Backed Research
Chris Flanagan (212) 449-1655
Ralph Diserio (212) 449-1629
Ryan Asato (212) 449-9622
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
32
