- --------------------------------------------------------------------------------
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 17, 1999
SUPERIOR BANK FSB (as depositor under the Pooling and Servicing Agreement, dated
as of September 1, 1999, providing for the issuance of AFC Mortgage Loan Asset
Backed Notes, Series 1999-3)
Superior Bank FSB
------------------------------------------------------
(Exact name of registrant as specified in its charter)
United States 333-83597 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 (630) 916-4000
--------------
- --------------------------------------------------------------------------------
<PAGE>
-2-
Item 5. Other Events
On or about September 28, 1999, the Registrant will cause the issuance and
sale of approximately $515,000,000 initial principal amount of AFC Mortgage Loan
Asset Backed Notes, Series 1999-3, Class 1A and Class 2A (collectively, the
"Notes") pursuant to a Pooling and Servicing Agreement to be dated as of
September 1, 1999, 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 Notes, Series
1999- 3, Class 1A and Class 2A (collectively, the "Underwritten Notes"), 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 Notes
following the effective date of Registration Statement No. 333-83597, 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The information in the Computational Materials will be superseded by the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 Notes 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 Notes (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
Notes 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 Notes.
<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 F.S.B.
By: /s/ William C. Bracken
----------------------
Name: William C. Bracken
Title: Senior Vice President
and Chief Financial Officer
Dated: September 17, 1999
<PAGE>
EXHIBIT INDEX
-------------
Exhibit Description
- ------- -----------
99.1 Computational Materials
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
ABS NEW TRANSACTION
COMPUTATIONAL MATERIALS
$515,000,000
AFC MORTGAGE LOAN ASSET BACKED NOTES,
SERIES 1999-3
SUPERIOR BANK FSB
SELLER/SERVICER
AFC TRUST SERIES 1999-3
ISSUER
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
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.
None of 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>
<TABLE>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------
EXPECTED LEGAL EXPECTED
CLASS RATINGS AVG. FINAL PAYMENT
CLASS SIZE TRANCHE TYPE MOODY'S/S&P LIFE PAYMENT WINDOW LIFE CAP
- ------------ ------------- ----------------- -------------- ------ ---------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
To Call:
1A $315,000,000 LIBOR Floater Aaa/AAA 3.45 9/29 1 - 116 9.75%
(1)
2A $200,000,000 LIBOR Floater Aaa/AAA 2.74 9/29 1 - 116 15.50%
(2)
To
Maturity:
1A $315,000,000 LIBOR Floater Aaa/AAA 3.57 9/29 1 - 193 9.75%
(1)
2A $200,000,000 LIBOR Floater Aaa/AAA 2.82 9/29 1 - 195 15.50%
(2)
- ------------------------------------------------------------------------------------------------------
</TABLE>
(1) Subject to the Class 1A Cap Rate with a Class 1A Available Funds Cap Carry
Forward Amount.
(2) Subject to the Class 2A Cap Rate with a Class 2A Available Funds Cap Carry
Forward Amount.
SERIES: AFC Mortgage Loan Asset Backed Notes, Series 1999-3
SELLER AND SERVICER: Superior Bank FSB
INDENTURE TRUSTEE: LaSalle Bank National Association
OWNER TRUSTEE: [Wilmington Trust Company]
UNDERWRITERS: Merrill Lynch, Pierce, Fenner & Smith Incorporated
(Lead) & J.P. Morgan Securities Inc. (Co-Manager)
NOTE INSURER: Financial Guaranty Insurance Company ("FGIC")
CUT-OFF DATE: September 1, 1999
EXP. PRICING: On or about September 17, 1999
EXP. SETTLEMENT: On or about September 28, 1999
PAYMENT DATE: The 25th day of each month (or if such 25th day is not
a business day, the next succeeding business day),
commencing on October 25, 1999.
DAY COUNT: Actual/360 for Class 1A and Class 2A.
CLASS 1A PREPAYMENT
ASSUMPTION: With respect to the Class 1A Notes, 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 Notes will not be SMMEA eligible. The
Class 2A Notes will not be SMMEA eligible until such
time as the balance of the related Pre-Funding Account
is reduced to zero.
ERISA: Subject to the conditions and restrictions set forth
in the Prospectus Supplement, it is expected that the
Class 1A and 2A Notes will generally be ERISA
eligible. Prospective purchasers should consult their
counsel.
TAX STATUS: In the opinion of tax counsel to Superior Bank FSB,
the Notes will be treated as debt for federal income
tax purposes, the trust will not be characterized as
an association (or a publicly traded partnership)
taxable as a corporation and neither the trust nor any
portion of the trust will constitute a taxable
mortgage pool taxable as a corporation.
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL:
Group 1 Mortgage Loans: Conventional, fixed-rate mortgage loans secured by
first or second liens on one- to four-family
residential properties, units in planned unit
developments, condominiums and manufactured homes
("Single Family Properties"), residential properties
consisting of five or more dwelling units
("Multifamily Properties"), commercial properties
("Commercial Properties") and mixed residential and
commercial structures ("Mixed Use Properties") plus
Group 1 Pre-Funding Account. In addition, Group 1 will
include "Periodic Payment Loans" (21.05% of Group 1
before pre-funding), "Deferred Payment Loans" (15.90%
of Group 1 before pre-funding), "Temporary Buydown
Loans" (0.19% of Group 1 before pre-funding),
"Permanent Buydown Loans" (18.52% of Group 1 before
pre-funding) and "Permanent Buydown Companion Loans"
($3,642,481). See below for further description.
Group 2 Mortgage Loans: Conventional, adjustable rate mortgage loans secured
by first liens on Single Family Properties indexed to
6 Month LIBOR plus Group 2 Pre-Funding Account. In
addition, Group 2 will include "Deferred Payment
Loans" (7.05% of Group 2 before pre-funding) and
"Temporary Buydown Loans" (0.76% of Group 2 before
pre-funding). See below for further description.
CREDIT
ENHANCEMENT: Credit enhancement refers to features of the offered
notes that are intended to reduce the effect on
holders of such notes of losses on the mortgage loans.
The credit enhancement consists of excess spread,
cross-collateralization, overcollateralization and the
note insurance policy issued by FGIC.
EXCESS SPREAD: On each payment date, the amount of interest due on
the mortgage loans of each group will generally be
greater than the amount needed to make monthly
interest payments on the related notes and to pay
certain fees for that month. Excess spread collected
from a group of mortgage loans, and with respect to
Group 1 only, the amounts collected on the permanent
buydown companion loans, will be used first to cover
any shortfalls in the required payments of principal
on the offered notes related to such group, and then
for cross-collateralization and/or
overcollateralization.
OVERCOLLATERAL-
IZATION: Overcollateralization refers to the actual amount by
which the aggregate principal balance due on the
mortgage loans in a group exceeds the aggregate
principal balance due on the related offered notes.
That excess is intended to protect noteholders against
shortfalls in required payments on the related offered
notes.
An initial amount of overcollateralization will be
required for each group. On the closing date, the note
insurer will also specify the required
overcollateralization for each group (which will vary
throughout the life of the notes). The required
overcollateralization amount for a group is intended
to be reached by an additional payment of principal
from amounts that are available for such group after
payments of required principal and interest payments
on all offered notes and certain fees and expenses.
That amount, if any, will be used to pay principal on
the related offered notes on an accelerated basis in
relation to the related mortgage loans, thereby
increasing the amount of overcollateralization for the
related group.
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
CROSS-
COLLATERALIZATION: Cross-collateralization generally refers to the use of
amounts received on one group of mortgage loans, after
payment of required interest and principal on the
related offered notes, to pay shortfalls of required
interest and principal on the offered notes related to
the other group as a result of realized losses on the
mortgage loans related to that other group.
The excess funds for a group are from two sources: (1)
excess spread that is not needed to pay shortfalls in
principal for that group and (2) excess principal that
is not needed because principal received for that
group exceeds the amount necessary to reach or
maintain the required overcollateralization amount.
PRE-FUNDING AMOUNTS:
Original Group 1 Pre-Funding Amount: $ 124,483,356.98
Original Group 2 Pre-Funding Amount: $ 78,031,772.75
The Original Group 1 Pre-Funding Amount and Original Group 2 Pre-Funding Amount
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 the Group 1 and Group 2
Pre-Funding Accounts will be used to prepay principal to the Class 1A and Class
2A Notes, respectively.
Class 1A Note Interest Rate:
Prior to the availability of the 5% clean-up call (as defined below):
On each Payment Date, the Class 1A Note Interest Rate will be a rate equal to
the lesser of (1) the lesser of (a) One-Month LIBOR plus [ ]% per annum (the
"Class 1A LIBOR Rate"), and (b) 9.75% per annum (the "Class 1A Cap Rate") and
(2) the Available Funds Cap Rate for the Class 1A Notes.
Class 2A Note Interest Rate:
Prior to the availability of the 5% clean-up call (as defined below):
On each Payment Date, the Class 2A Note Interest Rate will be a rate equal to
the lesser of (1) the lesser of (a) One-Month LIBOR plus [ ]% per annum (the
"Class 2A LIBOR Rate"), and (b) 15.50% per annum (the "Class 2A Cap Rate") and
(2) the Available Funds Cap Rate for the Class 2A Notes.
One-Month LIBOR will be determined on the second Business Day preceding the
beginning of each Accrual Period with respect to the Class 1A and Class 2A
Notes.
The Class 1A and 2A LIBOR Rates will increase approximately 40bps on and after
the date on which the 5% clean-up call becomes available but is not exercised.
AVAILABLE FUNDS CAP RATE:
For each class of Notes and any Payment Date will be a percentage derived from
the fraction the numerator of which is the difference between (1) the sum of all
interest collected and advanced on the mortgage loans in the related group
during the related due period and (2) the sum of the servicing fee, FGIC fee and
trustees fees payable for the related Payment Date with respect to that group,
and the denominator of which is the aggregate note principal balance of such
class immediately prior to that Payment Date.
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
CLASS 1A AVAILABLE FUNDS CAP CARRY FORWARD AMOUNT:
If on any Payment Date, the Class 1A Note Interest Rate is limited by the
Available Funds Cap Rate, you will be entitled to receive the excess of (i) the
interest distributable had the Class 1A Note Interest Rate been based on the
lesser of (a) the Class 1A LIBOR Rate and (b) the Class 1A Cap Rate, over (ii)
the interest actually distributed based on the Available Funds Cap Rate plus
(iii) interest thereon at the then current Class 1A Note Interest Rate. No Class
1A Available Funds Cap Carry Forward Amount will be paid to the Class 1A
Noteholder if the balance of such Class 1A Note is reduced to zero. The ratings
of the Class 1A Notes do not address the likelihood of the payment of any Class
1A Available Funds Cap Carry Forward Amounts and Class 1A Available Funds Cap
Carry Forward Amounts will not be covered by Insured Payments from FGIC.
CLASS 2A AVAILABLE FUNDS CAP CARRY FORWARD AMOUNT:
If on any Payment Date, the Class 2A Note Interest Rate is limited by the
Available Funds Cap Rate, you will be entitled to receive the excess of (i) the
interest distributable had the Class 2A Note Interest Rate been based on the
lesser of (a) the Class 2A LIBOR Rate and (b) the Class 2A Cap Rate, over (ii)
the interest actually distributed based on the Available Funds Cap Rate plus
(iii) interest thereon at the then current Class 2A Note Interest Rate. No Class
2A Available Funds Cap Carry Forward Amount will be paid to the Class 2 A
Noteholder if the balance of such Class 2A Note is reduced to zero. The ratings
of the Class 2A Notes do not address the likelihood of the payment of any Class
2A Available Funds Cap Carry Forward Amounts and Class 2A Available Funds Cap
Carry Forward Amounts will not be covered by Insured Payments from FGIC.
PRINCIPAL PAYMENTS:
The Class 1A Note will be backed primarily by cash flow from Group 1 assets.
The Class 2A Note will be backed primarily by cash flow from Group 2 assets.
Each Class 1A and 2A Note will generally receive all scheduled and unscheduled
principal payments from their respective groups until they are retired.
OPTIONAL TERMINATION/5% CLEANUP CALL:
When the aggregate principal balance of the mortgage loans (and properties
acquired in respect thereof) remaining in the trust has been reduced to less
than 5% of the sum of (1) the aggregate principal balance of the mortgage loans
as of September 1, 1999, and (2) the aggregate amounts on deposit in the
pre-funding accounts on the closing date, the servicer, at its option, may
purchase all of such mortgage loans and properties from the trust, and thereby
cause an early retirement of the notes.
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 11.23% of Group 1 and 13.34% of Group 2, by Group Principal Balance,
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 21.05% of Group 1, by Group Principal Balance, 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
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
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.
Deferred Payment Loans
Mortgage Loans which permit the Mortgagor to defer the first two or three
payments due under the related mortgage note. Such election must be made at the
time of origination. Under certain limited circumstances, these deferred
payments may be forgiven by the Mortgagee on the maturity date of the loan.
These loans will constitute 15.90% of Group 1 and 7.05% of Group 2, by Group
Principal Balance, before pre-funding.
Temporary Buydown Loans
Approximately 0.19% of Group 1 and 0.76% of Group 2 before pre-funding, 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 term. 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.
Permanent Buydown Loans
Approximately 18.52% of the Group 1 Initial Mortgage Loans, by Original Group 1
Principal Balance, are loans (each, a "Permanent Buydown Loan") made by the
Depositor to a borrower together with a "Permanent Buydown Companion Loan" for
the purpose of financing a buydown of the interest rate on the Permanent Buydown
Loan. Each Permanent Buydown Companion Loan provides for equal payments of
principal only for a term not to exceed 5 years. Although the Permanent Buydown
Loan and the Permanent Buydown Companion Loan are evidenced by separate notes,
the Depositor treats, and the Servicer will treat, both loans as a single
obligation. The Permanent Buydown Loan and the Permanent Buydown Companion Loan
are given a single loan number and are billed on a single statement. Both notes
are secured by either a first or second lien on the same mortgaged property, and
a default under one note will trigger a default under the other. For each
Permanent Buydown Loan conveyed to the Trust, the corresponding Permanent
Buydown Companion Loan will also be conveyed to the Trust.
Approximately $3,642,481 of Permanent Buydown Companion Loans are associated
with the Group 1 Permanent Buydown Loans and will be included in the excess
spread for Group 1. The Group 1 principal balance as of the cut-off date does
not, and as of any date will not, include the outstanding balance of the
permanent buy down companion loans included in Group 1.
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
<TABLE>
AVERAGE LIFE SENSITIVITY ANALYSIS:
(assuming 0 bps losses):
<CAPTION>
Assumes a 5% Clean-Up Call
SCENARIO 1 2 3 4 5
- - - - -
CLASS WAL WINDOW WAL WINDOW WAL WINDOW WAL WINDOW WAL WINDOW
--- ------ --- ------ --- ------ --- ------ --- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1A 14.78 1 - 335 5.81 1 - 181 3.45 1 - 116 2.49 1 - 82 1.96 1 - 60
2A 7.71 1 - 335 3.98 1 - 181 2.74 1 - 116 2.08 1 - 82 1.51 1 - 60
<CAPTION>
Assumes NO 5% Clean-Up Call (to Maturity)
SCENARIO 1 2 3 4 5
- - - - -
CLASS WAL WINDOW WAL WINDOW WAL WINDOW WAL WINDOW WAL WINDOW
--- ------ --- ------ --- ------ --- ------ --- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1A 14.84 1 - 358 6.00 1 - 312 3.57 1 - 193 2.56 1 - 138 2.00 1 - 99
2A 7.72 1 - 351 4.05 1 - 272 2.82 1 - 195 2.17 1 - 149 1.58 1 - 108
<CAPTION>
PREPAYMENT SCENARIOS
SCENARIO 1 2 3 4 5
- - - - -
<S> <C> <C> <C> <C> <C>
Class 1A (1) 0% 50% 100% 150% 200%
Class 2A (2) 10% 20% 28% 35% 45%
</TABLE>
(1) as a percentage of the Prepayment Assumption
(2) as a conditional prepayment rate (CPR)
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
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 10/25/1999 9.93 4.18
2 11/25/1999 9.93 4.18
3 12/25/1999 9.93 4.18
4 01/25/2000 9.93 4.18
5 02/25/2000 9.93 4.18
6 03/25/2000 9.93 4.18
7 04/25/2000 9.93 4.18
8 05/25/2000 9.93 4.18
9 06/25/2000 9.93 4.18
10 07/25/2000 9.93 4.18
11 08/25/2000 9.94 4.19
12 09/25/2000 9.94 4.19
13 10/25/2000 9.94 4.19
14 11/25/2000 9.95 4.20
15 12/25/2000 9.95 4.20
16 01/25/2001 9.95 4.20
17 02/25/2001 9.95 4.20
18 03/25/2001 9.95 4.20
19 04/25/2001 9.95 4.20
20 05/25/2001 10.01 4.26
21 06/25/2001 10.01 4.26
22 07/25/2001 10.01 4.26
23 08/25/2001 10.17 4.42
24 09/25/2001 10.71 4.96
25 10/25/2001 11.05 5.30
26 11/25/2001 11.40 5.65
27 12/25/2001 11.75 6.00
28 01/25/2002 11.75 6.00
29 02/25/2002 11.75 6.00
30 03/25/2002 11.76 6.01
- --------------------------------------------------------------------------------
(1) Assumes 1 Month LIBOR = 5.3800%, 6 Month LIBOR = 5.9425%, Class 2A Net
Margin = 0.37%, Expenses = 0.86%.
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
<TABLE>
INITIAL MORTGAGE LOAN CHARACTERISTICS
As of 9/1/99 (the "Cut-off Date")
Group 1 (Fixed Rate):
<S> <C>
Current Home Equity Loan Principal Balance (excluding
Permanent Buydown Companion Loan Balance of $3,642,481): $202,789,370
Average Current Home Equity Loan Principal Balance: $62,900 Range: $6,000 - $524,512
Original Home Equity Loan Principal Balance: $203,072,579
Average Original Home Equity Loan Principal Balance: $62,988 Range: $6,000 - $525,000
Properties secured by 1st/2nd Liens: 84.13% / 15.87%
Weighted Average Coupon: 10.408% Range: 7.110% - 16.150%
Weighted Average CLTV: 78.07%
Weighted Average Rem. Term: 258.3 mos.
Weighted Average Original Term: 259.4 mos.
Geographic Distribution: 48 States and D.C.
States w/ >5% Concentrations: NY - 13.17% MI - 6.45% OH - 6.20%
FL - 12.44% PA - 6.23%
Product Type-
Balloons (30's due in 15): 25.26%
Periodic Payment Loans: 21.05%
Deferred Payment Loans: 15.90%
Temporary Buydown Loans: 0.19%
Permanent Buydown Loans: 18.52%
Permanent Buydown Companion Loans: $3,642,481
Occupancy-
Owner Occupied: 92.64%
Non-Owner Occupied: 7.36%
Property Type-
One Family: 73.37%
2-4 Family: 9.65%
Manufactured Home Loans: 11.23%
Multi-Family: 1.31%
Condominium: 1.60%
Mixed Use: 0.76%
PUD: 1.40%
Commercial: 0.68%
Loan Purpose-
Purchase: 20.65%
Refinance: 10.98%
Cashout: 68.37%
</TABLE>
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
10
<PAGE>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
<TABLE>
INITIAL MORTGAGE LOAN CHARACTERISTICS (continued)
As of 9/1/99 (the "Cut-off Date")
Group 2 (Adjustable Rate):
<S> <C>
Current Home Equity Loan Principal Balance: $128,473,132
Average Current Home Equity Loan Principal Balance: $91,636 Range: $12,000 - $845,000
Original Home Equity Loan Principal Balance: $128,570,335
Average Original Home Equity Loan Principal Balance: $91,705 Range: $12,000 - $845,000
Product Type-
2/28: 94.60%
3/27: 4.54%
6 Month LIBOR: 0.86%
Temporary Buydown Loans: 0.76%
Deferred Payment Loans: 7.05%
Weighted Average Coupon: 10.786% Range: 6.750% - 14.375%
Weighted Average Lifetime Cap: 16.806% Range: 13.625% - 20.375%
Weighted Average Lifetime Floor: 9.806% Range: 6.625% - 13.375%
Weighted Average Gross Margin: 6.768% Range: 3.750% - 10.500%
Weighted Average Months to Roll: 23 Range: 2- 36
Weighted Average Initial Periodic Cap: 1.999% Range: 1.000% - 3.000%
Weighted Average Periodic Cap: 1.000% Range: all 1.000%
Weighted Average Rem. Term: 358.1 mos.
Weighted Average Original Term: 359.2 mos.
Properties secured by 1st Liens: 100%
Weighted Average LTV: 80.11%
Geographic Distribution: 43 states
States w/ >5% Concentrations: NY - 12.43% NJ - 7.60% IN - 6.66%
OH - 8.73% NC - 6.98%
MI - 8.00% PA - 6.88%
Occupancy-
Owner Occupied: 95.26%
Non-Owner Occupied: 4.74%
Property Type-
One Family: 73.79%
2-4 Family: 9.90%
Manufactured Home Loans: 13.34%
Condominium: 1.92%
PUD: 1.05%
Loan Purpose-
Purchase: 50.84%
Refinance: 8.75%
Cashout: 40.40%
</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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
<TABLE>
INITIAL MORTGAGE LOAN CHARACTERISTICS (continued)
As of 9/1/99 (the "Cut-off Date")
Group 2 (Adjustable Rate):
<S> <C>
2/28
Weighted Average Coupon: 10.765% Range: 6.750% - 14.250%
Weighted Average Lifetime Cap: 16.781% Range: 13.625% - 20.250%
Weighted Average Lifetime Floor: 9.781% Range: 6.625% - 13.250%
Weighted Average Gross Margin: 6.742% Range: 3.750% - 9.875%
6 Month LIBOR
Weighted Average Coupon: 11.348% Range: 10.250% - 13.750%
Weighted Average Lifetime Cap: 17.289% Range: 16.250% - 18.875%
Weighted Average Lifetime Floor: 10.289% Range: 9.250% - 11.875%
Weighted Average Gross Margin: 7.650% Range: 6.250% - 8.750%
3/27
Weighted Average Coupon: 11.104% Range: 7.375% - 14.375%
Weighted Average Lifetime Cap: 17.239% Range: 14.875% - 20.375%
Weighted Average Lifetime Floor: 10.239% Range: 7.875% - 13.375%
Weighted Average Gross Margin: 7.134% Range: 5.000% - 10.500%
</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.
12
<PAGE>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES INITIAL MORTGAGE LOANS
GROUP 1 (FIXED RATE)
Percent by
Range of Principal Balances Principal Principal Number of
as of the Cut-off Date ($) Balance Balance Mortgage Loans
- --------------------------- ------------- ---------- --------------
0.01 - 10,000.00 $278,820.09 0.14% 30
10,000.01 - 20,000.00 4,279,703.47 2.11 273
20,000.01 - 30,000.00 11,047,897.90 5.45 428
30,000.01 - 40,000.00 15,849,386.97 7.82 450
40,000.01 - 50,000.00 19,548,153.25 9.64 431
50,000.01 - 60,000.00 22,445,875.34 11.07 405
60,000.01 - 70,000.00 19,136,941.25 9.44 294
70,000.01 - 80,000.00 15,007,963.59 7.40 200
80,000.01 - 90,000.00 11,598,563.25 5.72 136
90,000.01 - 100,000.00 10,333,656.13 5.10 108
100,000.01 - 110,000.00 9,108,153.28 4.49 87
110,000.01 - 120,000.00 8,936,111.26 4.41 78
120,000.01 - 130,000.00 5,749,561.01 2.84 46
130,000.01 - 140,000.00 5,971,876.69 2.94 44
140,000.01 - 150,000.00 4,950,070.21 2.44 34
150,000.01 - 160,000.00 5,401,503.17 2.66 35
160,000.01 - 170,000.00 4,097,325.51 2.02 25
170,000.01 - 180,000.00 4,033,494.63 1.99 23
180,000.01 - 190,000.00 1,110,232.90 0.55 6
190,000.01 - 200,000.00 1,764,715.99 0.87 9
200,000.01 - 250,000.00 9,434,976.47 4.65 42
250,000.01 - 300,000.00 6,297,439.48 3.11 23
300,000.01 - 350,000.00 2,984,199.00 1.47 9
350,000.01 - 400,000.00 1,497,937.51 0.74 4
400,000.01 - 450,000.00 434,200.00 0.21 1
450,000.01 - 500,000.00 966,100.00 0.48 2
500,000.01 - 550,000.00 524,511.94 0.26 1
------------- ------ -----
Total $202,789,370.29 100.00% 3,224
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 1 (FIXED RATE)
Percent by
Geographic Principal Principal Number of
Distribution Balance Balance Mortgage Loans
- -------------------- ------------- ----------- --------------
Alabama $2,164,513.68 1.07% 44
Arizona 1,064,546.16 0.52 26
Arkansas 2,256,995.92 1.11 44
California 4,698,301.25 2.32 76
Colorado 5,592,643.08 2.76 102
Connecticut 4,197,666.57 2.07 56
Delaware 701,705.20 0.35 12
District Of Columbia 512,850.00 0.25 6
Florida 25,236,327.57 12.44 512
Georgia 3,001,211.70 1.48 58
Idaho 289,211.72 0.14 7
Illinois 7,958,896.90 3.92 109
Indiana 8,068,278.50 3.98 156
Iowa 152,682.46 0.08 4
Kansas 56,542.83 0.03 1
Kentucky 1,268,955.10 0.63 21
Louisiana 752,265.24 0.37 11
Maine 1,100,950.47 0.54 12
Maryland 6,760,636.18 3.33 89
Massachusetts 6,530,759.49 3.22 68
Michigan 13,080,132.77 6.45 221
Minnesota 1,116,425.68 0.55 18
Mississippi 1,410,913.85 0.70 25
Missouri 2,168,359.41 1.07 51
Montana 431,727.33 0.21 7
Nebraska 577,073.34 0.28 11
Nevada 295,995.07 0.15 5
New Hampshire 487,378.29 0.24 8
New Jersey 7,790,419.16 3.84 92
New Mexico 830,991.72 0.41 13
New York 26,710,007.90 13.17 282
North Carolina 7,418,758.37 3.66 122
North Dakota 312,093.15 0.15 6
Ohio 12,576,318.58 6.20 208
Oklahoma 1,394,952.96 0.69 23
Oregon 2,586,962.89 1.28 32
Pennsylvania 12,624,559.18 6.23 208
Rhode Island 1,575,683.29 0.78 17
South Carolina 7,612,638.04 3.75 145
South Dakota 151,059.96 0.07 3
Tennessee 2,724,637.17 1.34 40
Texas 2,527,570.20 1.25 51
Utah 1,585,388.14 0.78 40
Vermont 111,521.31 0.05 2
Virginia 4,933,163.10 2.43 72
Washington 4,209,818.67 2.08 64
West Virginia 1,659,705.48 0.82 22
Wisconsin 1,432,048.63 0.71 21
Wyoming 87,126.63 0.04 1
------------- ------ -----
Total $202,789,370.29 100.00% 3,224
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 1 (FIXED RATE)
Percent by Number of
Original Combined Principal Principal Mortgage
Loan-to-Value Balance Balance Loans
- ----------------- -------------- ---------- ---------
10.01 - 15.00 $69,141.39 0.03% 2
15.01 - 20.00 323,037.84 0.16 10
20.01 - 25.00 215,776.49 0.11 8
25.01 - 30.00 347,766.11 0.17 11
30.01 - 35.00 488,587.42 0.24 14
35.01 - 40.00 1,142,732.32 0.56 24
40.01 - 45.00 1,016,554.24 0.50 27
45.01 - 50.00 2,052,907.28 1.01 46
50.01 - 55.00 3,175,505.48 1.57 56
55.01 - 60.00 4,867,457.71 2.40 90
60.01 - 65.00 11,269,891.89 5.56 185
65.01 - 70.00 15,086,409.64 7.44 229
70.01 - 75.00 22,479,533.50 11.09 351
75.01 - 80.00 48,499,196.88 23.92 770
80.01 - 85.00 47,888,846.74 23.62 735
85.01 - 90.00 42,611,791.69 21.01 651
90.01 - 95.00 1,254,233.67 0.62 15
------------ ------ -----
Total $202,789,370.29 100.00% 3,224
=============== ======= =====
At origination no Group 1 Mortgage Loan had a Combined Loan-to-Value ("CLTV")
exceeding 91.50%.
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 1 (FIXED RATE)
Percent by Number of
Mortgage Rates (%) Principal Balance Principal Balance Mortgage Loans
- ------------------ ----------------- ----------------- --------------
7.000 - 7.249 $451,000.00 0.22% 4
7.250 - 7.499 16,859,781.54 8.31 200
7.500 - 7.749 3,711,775.33 1.83 39
7.750 - 7.999 6,579,395.82 3.24 73
8.000 - 8.249 2,555,657.66 1.26 32
8.250 - 8.499 5,690,013.45 2.81 71
8.500 - 8.749 5,210,605.64 2.57 69
8.750 - 8.999 7,541,226.95 3.72 97
9.000 - 9.249 5,032,869.93 2.48 76
9.250 - 9.499 8,206,826.37 4.05 111
9.500 - 9.749 9,053,097.29 4.46 118
9.750 - 9.999 10,822,029.07 5.34 160
10.000 - 10.249 7,359,890.72 3.63 134
10.250 - 10.499 7,650,987.62 3.77 141
10.500 - 10.749 9,281,353.17 4.58 164
10.750 - 10.999 13,618,647.88 6.72 209
11.000 - 11.249 10,796,805.32 5.32 184
11.250 - 11.499 8,077,291.60 3.98 159
11.500 - 11.749 9,153,789.05 4.51 174
11.750 - 11.999 11,785,030.38 5.81 204
12.000 - 12.249 7,736,893.10 3.82 146
12.250 - 12.499 6,946,527.19 3.43 127
12.500 - 12.749 8,936,198.19 4.41 148
12.750 - 12.999 7,542,905.47 3.72 142
13.000 - 13.249 2,812,931.43 1.39 48
13.250 - 13.499 2,930,483.40 1.45 59
13.500 - 13.749 3,287,907.28 1.62 57
13.750 - 13.999 1,459,097.35 0.72 34
14.000 - 14.249 1,015,283.87 0.50 25
14.250 - 14.499 415,553.50 0.20 9
14.500 - 14.749 111,973.79 0.06 4
14.750 - 14.999 72,475.40 0.04 2
15.000 - 15.249 13,997.88 0.01 1
15.250 - 15.499 19,600.00 0.01 1
15.750 - 15.999 29,934.03 0.01 1
16.000 - 16.249 19,533.62 0.01 1
--------------- ------ -----
Total $202,789,370.29 100.00% 3,224
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 1 (FIXED RATE)
Remaining Percent by Number of
Months to Maturity Principal Balance Principal Balance Mortgage Loans
- ------------------ ----------------- ----------------- --------------
24.01 - 36.00 $17,762.91 0.01% 1
48.01 - 60.00 249,440.27 0.12 9
60.01 - 72.00 203,928.39 0.10 4
72.01 - 84.00 149,005.73 0.07 5
84.01 - 96.00 233,564.12 0.12 6
96.01 - 108.00 76,200.00 0.04 2
108.01 - 120.00 5,782,836.95 2.85 191
120.01 - 132.00 576,163.42 0.28 12
132.01 - 144.00 337,836.39 0.17 8
144.01 - 156.00 484,943.56 0.24 8
156.01 - 168.00 1,173,307.73 0.58 17
168.01 - 180.00 76,398,820.35 37.67 1,295
180.01 - 192.00 1,594,835.97 0.79 21
192.01 - 204.00 588,203.81 0.29 9
204.01 - 216.00 603,687.18 0.30 7
216.01 - 228.00 287,909.45 0.14 3
228.01 - 240.00 24,929,999.02 12.29 435
240.01 - 252.00 1,484,313.24 0.73 19
252.01 - 264.00 102,164.33 0.05 3
264.01 - 276.00 428,599.93 0.21 4
276.01 - 288.00 622,198.41 0.31 5
288.01 - 300.00 10,058,967.08 4.96 169
300.01 - 312.00 952,533.38 0.47 13
312.01 - 324.00 375,712.43 0.19 4
324.01 - 336.00 638,884.26 0.32 5
336.01 - 348.00 1,158,756.35 0.57 12
348.01 - 360.00 71,050,988.58 35.04 937
360.01 - 361.00 2,227,807.05 1.10 20
-------------- ------ -----
Total $202,789,370.29 100.00% 3,224
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 1 (FIXED RATE)
Percent by Number of
Principal Mortgage
Underwriting Class Principal Balance Balance Loans
- ------------------ ----------------- ---------- ----------
AAA $5,133,486.15 2.53% 68
AA 35,784,458.06 17.65 500
ANIV 23,166,742.05 11.42 308
I 56,648,838.39 27.93 870
II 23,539,377.61 11.61 414
III 7,283,612.29 3.59 107
IIISE 5,133,422.50 2.53 69
IIB 18,495,756.11 9.12 360
IV 21,613,730.39 10.66 403
IVPI 3,090,704.96 1.52 64
V 2,899,241.78 1.43 61
--------------- ------ -----
Total $202,789,370.29 100.00% 3,224
=============== ======= =====
GROUP 1 (FIXED RATE)
Percent by
Principal Principal Number of
Property Types Balance Balance Mortgage Loans
- -------------------- -------------- ---------- --------------
SINGLE FAMILY $148,790,705.44 73.37% 2,410
MANUFACTURED HOUSING 22,776,856.88 11.23 456
2-4 FAMILY 19,563,395.71 9.65 212
CONDO 3,242,244.57 1.60 69
PUD 2,847,658.50 1.40 47
MULTI-FAMILY 2,654,645.52 1.31 16
MIXED USE 1,536,570.21 0.76 9
COMMERCIAL 1,377,293.46 0.68 5
-------------- ------ -----
Total $202,789,370.29 100.00% 3,224
=============== ======= =====
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received or reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy. The collateral information set forth in the
Computational Materials supersedes any previously distributed collateral
information relating to the securities discussed in this communication and will
be superseded by the information set forth in the final prospectus supplement.
18
<PAGE>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Range of Principal Balances Percent by Number of
As of the Cut-off Date ($) Principal Balance Principal Balance Mortgage Loans
- -------------------------- ----------------- ----------------- --------------
10,000.01 - 20,000.00 $224,644.05 0.17% 13
20,000.01 - 30,000.00 1,246,479.60 0.97 48
30,000.01 - 40,000.00 3,933,381.10 3.06 109
40,000.01 - 50,000.00 6,173,298.93 4.81 137
50,000.01 - 60,000.00 9,032,857.21 7.03 163
60,000.01 - 70,000.00 11,195,776.41 8.71 171
70,000.01 - 80,000.00 12,859,041.89 10.01 171
80,000.01 - 90,000.00 10,385,003.68 8.08 122
90,000.01 - 100,000.00 7,223,367.15 5.62 76
100,000.01 - 110,000.00 5,895,445.93 4.59 56
110,000.01 - 120,000.00 7,728,409.16 6.02 67
120,000.01 - 130,000.00 5,013,969.46 3.90 40
130,000.01 - 140,000.00 6,337,796.39 4.93 47
140,000.01 - 150,000.00 3,760,406.80 2.93 26
150,000.01 - 160,000.00 3,251,047.02 2.53 21
160,000.01 - 170,000.00 2,476,192.23 1.93 15
170,000.01 - 180,000.00 2,994,123.38 2.33 17
180,000.01 - 190,000.00 2,051,360.99 1.60 11
190,000.01 - 200,000.00 1,752,040.49 1.36 9
200,000.01 - 250,000.00 6,777,794.13 5.28 31
250,000.01 - 300,000.00 6,936,022.55 5.40 25
300,000.01 - 350,000.00 3,829,194.46 2.98 12
350,000.01 - 400,000.00 731,768.18 0.57 2
400,000.01 - 450,000.00 2,186,000.00 1.70 5
450,000.01 - 500,000.00 2,912,184.28 2.27 6
700,000.01 - 750,000.00 720,526.27 0.56 1
800,000.01 - 850,000.00 845,000.00 0.66 1
------------- ------ -----
Total $128,473,131.74 100.00% 1,402
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Number of
Percent by Mortgage
Geographic Distribution Principal Balance Principal Balance Loans
- ----------------------- ----------------- ----------------- ---------
Alabama $319,083.85 0.25% 4
Arizona 1,232,139.24 0.96 7
California 1,175,536.20 0.92 9
Colorado 5,797,735.65 4.51 52
Connecticut 5,167,950.17 4.02 37
Delaware 163,951.76 0.13 1
Florida 5,759,446.21 4.48 68
Georgia 1,828,183.04 1.42 25
Idaho 513,174.65 0.40 5
Illinois 5,468,331.17 4.26 58
Indiana 8,554,626.64 6.66 124
Iowa 285,045.72 0.22 6
Kansas 95,975.00 0.07 1
Kentucky 220,844.27 0.17 4
Louisiana 181,578.19 0.14 3
Maine 1,103,308.04 0.86 13
Maryland 3,160,483.62 2.46 29
Massachusetts 2,056,228.13 1.60 21
Michigan 10,277,227.07 8.00 123
Minnesota 575,090.99 0.45 8
Mississippi 52,000.00 0.04 1
Missouri 1,877,309.07 1.46 30
Nebraska 67,484.90 0.05 2
New Hampshire 327,724.86 0.26 3
New Jersey 9,759,181.36 7.60 77
New Mexico 492,980.92 0.38 7
New York 15,969,653.59 12.43 101
North Carolina 8,964,939.37 6.98 121
Ohio 11,212,102.14 8.73 159
Oklahoma 39,226.44 0.03 2
Oregon 433,900.00 0.34 4
Pennsylvania 8,845,108.67 6.88 128
Rhode Island 758,362.31 0.59 6
South Carolina 4,501,179.00 3.50 63
Tennessee 571,333.76 0.44 7
Texas 3,208,346.86 2.50 37
Utah 2,406,886.29 1.87 15
Vermont 100,000.00 0.08 1
Virginia 1,516,900.83 1.18 18
Washington 3,010,341.66 2.34 16
West Virginia 137,580.10 0.11 2
Wisconsin 209,900.00 0.16 3
Wyoming 74,750.00 0.06 1
-------------- ------ -----
Total $128,473,131.74 100.00% 1,402
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Number of
Percent by Mortgage
Original Loan-to-Value (%) Principal Balance Principal Balance Loans
- ------------------------- ----------------- ----------------- ---------
10.01 - 15.00 $19,992.05 0.02% 1
15.01 - 20.00 29,989.30 0.02 1
20.01 - 25.00 62,000.00 0.05 2
30.01 - 35.00 97,000.00 0.08 2
35.01 - 40.00 430,332.14 0.33 7
40.01 - 45.00 323,236.72 0.25 6
45.01 - 50.00 965,788.44 0.75 14
50.01 - 55.00 980,796.41 0.76 16
55.01 - 60.00 1,482,772.96 1.15 20
60.01 - 65.00 6,085,708.01 4.74 71
65.01 - 70.00 6,047,650.51 4.71 62
70.01 - 75.00 11,130,317.38 8.66 135
75.01 - 80.00 39,293,461.82 30.58 441
80.01 - 85.00 38,300,038.64 29.81 392
85.01 - 90.00 23,224,047.36 18.08 232
--------------- ------ -----
Total $128,473,131.74 100.00% 1,402
=============== ======= =====
At origination no Group 2 Mortgage Loan had a Loan-to-Value ("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.
21
<PAGE>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Percent by Number of
Mortgage Rates (%) Principal Balance Principal Balance Mortgage Loans
- ------------------ ----------------- ----------------- --------------
6.750 - 6.999 $131,750.00 0.10% 1
7.250 - 7.499 176,865.32 0.14 1
7.500 - 7.749 509,336.07 0.40 5
7.750 - 7.999 836,900.00 0.65 4
8.000 - 8.249 690,655.30 0.54 8
8.250 - 8.499 2,244,041.41 1.75 16
8.500 - 8.749 1,840,780.10 1.43 20
8.750 - 8.999 4,241,847.33 3.30 42
9.000 - 9.249 2,191,447.08 1.71 25
9.250 - 9.499 6,029,595.41 4.69 47
9.500 - 9.749 6,343,331.02 4.94 79
9.750 - 9.999 6,367,941.19 4.96 65
10.000 - 10.249 9,548,849.20 7.43 103
10.250 - 10.499 7,461,648.36 5.81 82
10.500 - 10.749 8,926,205.92 6.95 89
10.750 - 10.999 14,491,998.36 11.28 172
11.000 - 11.249 7,836,473.26 6.10 80
11.250 - 11.499 7,999,964.27 6.23 89
11.500 - 11.749 8,228,764.84 6.41 104
11.750 - 11.999 12,260,964.14 9.54 147
12.000 - 12.249 3,511,695.39 2.73 38
12.250 - 12.499 4,084,384.55 3.18 49
12.500 - 12.749 4,590,685.91 3.57 46
12.750 - 12.999 4,969,741.45 3.87 55
13.000 - 13.249 1,017,298.71 0.79 14
13.250 - 13.499 821,024.86 0.64 9
13.500 - 13.749 220,856.93 0.17 3
13.750 - 13.999 482,102.54 0.38 5
14.000 - 14.249 353,037.32 0.27 2
14.250 - 14.499 62,945.50 0.05 2
--------------- ------ -----
Total $128,473,131.74 100.00% 1,402
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Percent by
Principal Principal Number of
Remaining Months to Maturity Balance Balance Mortgage Loans
- ---------------------------- -------------- ----------- --------------
238.00 - 240.99 $364,899.90 0.28% 8
289.00 - 300.99 1,005,103.17 0.78 25
337.00 - 348.99 255,448.94 0.20 4
349.00 - 357.99 6,958,456.63 5.42 76
358.00 - 358.99 18,978,796.46 14.77 186
359.00 - 359.99 60,516,960.23 47.10 651
360.00 - 361.00 40,393,466.41 31.44 452
--------------- ------ -----
Total $128,473,131.74 100.00% 1,402
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Percent by
Principal Principal Number of
Month of Next Rate Adjustment Balance Balance Mortgage Loans
- ----------------------------- --------------- ----------- --------------
November 1999 $64,530.27 0.05% 1
December 1999 248,408.48 0.19 2
January 2000 471,138.92 0.37 2
February 2000 245,144.23 0.19 2
March 2000 74,634.93 0.06 1
April 2000 0.00 0.00 0
May 2000 0.00 0.00 0
June 2000 0.00 0.00 0
July 2000 0.00 0.00 0
August 2000 111,285.27 0.09 2
September 2000 69,528.74 0.05 1
October 2000 111,220.20 0.09 1
November 2000 0.00 0.00 0
December 2000 133,605.29 0.10 1
January 2001 399,492.03 0.31 3
February 2001 641,576.90 0.50 6
March 2001 242,772.74 0.19 3
April 2001 940,977.02 0.73 12
May 2001 1,312,663.90 1.02 15
June 2001 2,980,824.46 2.32 34
July 2001 18,223,557.95 14.18 184
August 2001 58,370,009.13 45.43 627
September 2001 38,003,065.07 29.58 439
October 2001 0.00 0.00 0
November 2001 0.00 0.00 0
December 2001 0.00 0.00 0
January 2002 0.00 0.00 0
February 2002 0.00 0.00 0
March 2002 0.00 0.00 0
April 2002 0.00 0.00 0
May 2002 0.00 0.00 0
June 2002 0.00 0.00 0
July 2002 425,969.03 0.33 4
August 2002 2,302,325.84 1.79 32
September 2002 3,100,401.34 2.41 30
------------- ------ -----
Total $128,473,131.74 100.00% 1,402
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Principal Percent by Number of
Gross Margin Balance Principal Balance Mortgage Loans
- ------------------ --------------- ----------------- --------------
3.750 - 3.999 $73,950.00 0.06% 1
4.000 - 4.249 291,302.80 0.23 3
4.250 - 4.499 1,303,170.51 1.01 13
4.500 - 4.749 1,613,966.97 1.26 13
4.750 - 4.999 1,033,898.15 0.80 11
5.000 - 5.249 5,680,762.18 4.42 53
5.250 - 5.499 2,974,798.99 2.32 39
5.500 - 5.749 7,169,875.94 5.58 71
5.750 - 5.999 8,876,594.28 6.91 88
6.000 - 6.249 7,127,541.25 5.55 77
6.250 - 6.499 16,658,451.90 12.97 177
6.500 - 6.749 6,962,859.87 5.42 74
6.750 - 6.999 14,575,832.07 11.35 163
7.000 - 7.249 12,227,166.81 9.52 132
7.250 - 7.499 6,202,792.40 4.83 77
7.500 - 7.749 7,291,797.30 5.68 79
7.750 - 7.999 6,356,243.20 4.95 62
8.000 - 8.249 9,650,469.06 7.51 127
8.250 - 8.499 2,447,557.33 1.91 32
8.500 - 8.749 3,344,258.66 2.60 37
8.750 - 8.999 2,933,836.53 2.28 32
9.000 - 9.249 1,259,759.70 0.98 13
9.250 - 9.499 1,367,040.13 1.06 20
9.500 - 9.749 456,704.06 0.36 4
9.750 - 9.999 283,851.26 0.22 2
10.000 - 10.249 271,900.39 0.21 1
10.500 - 10.749 36,750.00 0.03 1
------------- ------ -----
Total $128,473,131.74 100.00% 1,402
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Principal Percent by Number of
Maximum Mortgage Rates Balance Principal Balance Mortgage Loans
- ---------------------- --------------- ----------------- --------------
13.500 - 13.749 $328,567.00 0.26% 3
13.750 - 13.999 836,900.00 0.65 4
14.000 - 14.249 331,155.30 0.26 5
14.250 - 14.499 2,164,791.41 1.69 15
14.500 - 14.749 1,840,780.10 1.43 20
14.750 - 14.999 4,135,682.43 3.22 41
15.000 - 15.249 2,191,447.08 1.71 25
15.250 - 15.499 6,206,460.73 4.83 48
15.500 - 15.749 6,524,100.09 5.08 81
15.750 - 15.999 6,289,541.19 4.90 64
16.000 - 16.249 9,908,349.20 7.71 106
16.250 - 16.499 7,420,898.36 5.78 82
16.500 - 16.749 8,926,205.92 6.95 89
16.750 - 16.999 14,729,913.26 11.47 174
17.000 - 17.249 7,836,473.26 6.10 80
17.250 - 17.499 7,999,964.27 6.23 89
17.500 - 17.749 8,228,764.84 6.41 104
17.750 - 17.999 12,339,364.14 9.60 148
18.000 - 18.249 3,511,695.39 2.73 38
18.250 - 18.499 4,204,384.55 3.27 50
18.500 - 18.749 4,590,685.91 3.57 46
18.750 - 18.999 5,044,376.38 3.93 56
19.000 - 19.249 1,017,298.71 0.79 14
19.250 - 19.499 821,024.86 0.64 9
19.500 - 19.749 220,856.93 0.17 3
19.750 - 19.999 407,467.61 0.32 4
20.000 - 20.249 353,037.32 0.27 2
20.250 - 20.499 62,945.50 0.05 2
--------------- ------ -----
Total $128,473,131.74 100.00% 1,402
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Principal Percent by Number of
Minimum Mortgage Rates Balance Principal Balance Mortgage Loans
- ---------------------- --------------- ----------------- --------------
6.625 - 6.749 $328,567.00 0.26% 3
6.750 - 6.999 836,900.00 0.65 4
7.000 - 7.249 331,155.30 0.26 5
7.250 - 7.499 2,164,791.41 1.69 15
7.500 - 7.749 1,840,780.10 1.43 20
7.750 - 7.999 4,135,682.43 3.22 41
8.000 - 8.249 2,191,447.08 1.71 25
8.250 - 8.499 6,206,460.73 4.83 48
8.500 - 8.749 6,524,100.09 5.08 81
8.750 - 8.999 6,289,541.19 4.90 64
9.000 - 9.249 9,908,349.20 7.71 106
9.250 - 9.499 7,420,898.36 5.78 82
9.500 - 9.749 8,926,205.92 6.95 89
9.750 - 9.999 14,729,913.26 11.47 174
10.000 - 10.249 7,836,473.26 6.10 80
10.250 - 10.499 7,999,964.27 6.23 89
10.500 - 10.749 8,228,764.84 6.41 104
10.750 - 10.999 12,339,364.14 9.60 148
11.000 - 11.249 3,511,695.39 2.73 38
11.250 - 11.499 4,204,384.55 3.27 50
11.500 - 11.749 4,590,685.91 3.57 46
11.750 - 11.999 5,044,376.38 3.93 56
12.000 - 12.249 1,017,298.71 0.79 14
12.250 - 12.499 821,024.86 0.64 9
12.500 - 12.749 220,856.93 0.17 3
12.750 - 12.999 407,467.61 0.32 4
13.000 - 13.249 353,037.32 0.27 2
13.250 - 13.375 62,945.50 0.05 2
--------------- ------ -----
Total $128,473,131.74 100.00% 1,402
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
COLLATERAL TABLES FOR INITIAL MORTGAGE LOANS (continued)
GROUP 2 (ADJUSTABLE RATE)
Principal Percent by Number of
Underwriting Class Balance Principal Balance Mortgage Loans
- ------------------ --------------- ----------------- --------------
AA $7,548,866.65 5.88% 74
ANIV 16,928,726.70 13.18 101
I 29,100,150.72 22.65 297
II 17,669,813.47 13.75 230
III 5,894,430.95 4.59 56
III-SE 2,977,011.52 2.32 30
IIB 20,221,516.08 15.74 252
IV 19,107,665.94 14.87 260
IVPI 3,608,374.80 2.81 35
V 5,416,574.91 4.22 67
-------------- ------ -----
Total $128,473,131.74 100.00% 1,402
=============== ======= =====
GROUP 2 (ADJUSTABLE RATE)
Percent by Number of
Property Type Principal Balance Principal Balance Mortgage Loans
- --------------------- ----------------- ----------------- --------------
SINGLE FAMILY $94,806,353.23 73.79% 992
MANUFACTURED HOUSING 17,132,516.29 13.34 249
2-4 FAMILY 12,713,245.91 9.90 118
CONDO 2,469,720.84 1.92 33
PUD 1,351,295.47 1.05 10
--------------- ------ -----
Total $128,473,131.74 100.00% 1,402
=============== ======= =====
- --------------------------------------------------------------------------------
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>
COMPUTATIONAL MATERIALS FOR AFC MORTGAGE LOAN
[LOGO] MERRILL LYNCH ASSET-BACKED NOTES, SERIES 1999-3
- --------------------------------------------------------------------------------
FOR ADDITIONAL INFORMATION PLEASE CALL:
ASSET BACKED SECURITIES GROUP
- -----------------------------
Rob DiOrio (212) 449-1646
Marc Rosenthal (212) 449-8721
Demetrios Tsipras (212) 449-9486
Vu Nguyen (212) 449-1955
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.
29
